Authors: Bernholt, Thorsten
Fried, Roland
Gather, Ursula
Wegener, Ingo
Title: Modified Repeated Median Filters
Language (ISO): en
Abstract: We discuss moving window techniques for fast extraction of a signal comprising monotonic trends and abrupt shifts from a noisy time series with irrelevant spikes. Running medians remove spikes and preserve shifts, but they deteriorate in trend periods. Modified trimmed mean filters use a robust scale estimate such as the median absolute deviation about the median (MAD) to select an adaptive amount of trimming. Application of robust regression, particularly of the repeated median, has been suggested for improving upon the median in trend periods. We combine these ideas and construct modified filters based on the repeated median offering better shift preservation. All these filters are compared w.r.t. fundamental analytical properties and in basic data situations. An algorithm for the update of the MAD running in time O(log n) for window width n is presented as well.
Subject Headings: signal extraction
robust filtering
drifts
jumps
outliers
computational geometry
update algorithm
URI: http://hdl.handle.net/2003/5298
http://dx.doi.org/10.17877/DE290R-15236
Issue Date: 2004
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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