Robust shift detection in time-varying autoregressive processes
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Date
2008-11-26T14:11:10Z
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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.
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Keywords
Jump, Outlier, Test resistance, Time series