On the robust detection of edges in time series filtering
| dc.contributor.author | Fried, Roland | |
| dc.date.accessioned | 2007-07-13T12:03:00Z | |
| dc.date.available | 2007-07-13T12:03:00Z | |
| dc.date.issued | 2007-07-13T12:03:00Z | |
| dc.description.abstract | Abrupt shifts in the level of a time series represent important information and should be preserved in statistical signal extraction. We investigate rules for detecting level shifts that are resistant to outliers and which work with only a short time delay. The properties of robustified versions of the t-test for two independent samples and its non-parametric alternatives are elaborated under different types of noise. Trimmed t-tests, median comparisons, robusti- fied rank and ANOVA tests based on robust scale estimators are compared. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/24436 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-5208 | |
| dc.language.iso | en | de |
| dc.subject | Jumps | en |
| dc.subject | Outliers | en |
| dc.subject | Test resistance | en |
| dc.subject | Time series filtering | en |
| dc.subject.ddc | 004 | |
| dc.title | On the robust detection of edges in time series filtering | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access | |
| eldorado.dnb.deposit | true |