Authors: Fried, Roland
Title: Robust shift detection in time-varying autoregressive processes
Language (ISO): en
Abstract: Tests for shift detection in locally-stationary autoregressive time series are constructed which resist contamination by a substantial amount of outliers. Tests based on a comparison of local medians standardized by a highly robust estimate of the variability show reliable performance in a broad variety of situations if the thresholds are adjusted for possible autocorrelations.
Subject Headings: Jump
Outlier
Test resistance
Time series
URI: http://hdl.handle.net/2003/25859
http://dx.doi.org/10.17877/DE290R-14255
Issue Date: 2008-11-26T14:11:10Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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