Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/124295| Title: | Efficient and robust scale estimation for trended time series |
| Authors: | Karagöz, Derya Croux, Christophe Gelper, Sarah |
| Keywords: | Time-series analysis Estimation theory -- Asymptotic theory Robust statistics Mathematical statistics -- Asymptotic theory Monte Carlo method |
| Issue Date: | 2009 |
| Publisher: | Elsevier |
| Citation: | Caliskan, D., Croux, C., & Gelper, S. (2009). Efficient and robust scale estimation for trended time series. Statistics and Probability Letters, 79(18), 1900-1905. |
| Abstract: | This paper presents a new method for robust online variability extraction in time series. The proposed estimator is simultaneously highly robust and efficient. We derive its breakdown point, influence function, and asymptotic variance and study the finite sample properties in a simulation study. |
| URI: | https://www.um.edu.mt/library/oar/handle/123456789/124295 |
| Appears in Collections: | Scholarly Works - FacSciSOR |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| Efficient and robust scale estimation for trended time series 2009.pdf Restricted Access | 389.53 kB | Adobe PDF | View/Open Request a copy |
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