Efficient and robust scale estimation for trended time series
نویسندگان
چکیده
منابع مشابه
Efficient and robust scale estimation for trended time series
This paper presents a newmethod 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. © 2009 Elsevier B.V. All rights reserved.
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2009
ISSN: 0167-7152
DOI: 10.1016/j.spl.2009.05.019