Robust shift detection in time-varying autoregressive processes

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dc.contributor.authorFried, Roland
dc.date.accessioned2008-11-26T14:11:10Z
dc.date.available2008-11-26T14:11:10Z
dc.date.issued2008-11-26T14:11:10Z
dc.description.abstractTests 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.en
dc.identifier.urihttp://hdl.handle.net/2003/25859
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-14255
dc.language.isoende
dc.subjectJumpen
dc.subjectOutlieren
dc.subjectTest resistanceen
dc.subjectTime seriesen
dc.subject.ddc004
dc.titleRobust shift detection in time-varying autoregressive processesen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access
eldorado.dnb.deposittrue

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