Arbeitspapier

On the robust detection of edges in time series filtering

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, robustified rank and ANOVA tests based on robust scale estimators are compared.

Language
Englisch

Bibliographic citation
Series: Technical Report ; No. 2007,20

Subject
time series filtering
jumps
outliers
test resistance
Zeitreihenanalyse
Statistischer Test
Robustes Verfahren
Theorie

Event
Geistige Schöpfung
(who)
Fried, Roland
Event
Veröffentlichung
(who)
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
(where)
Dortmund
(when)
2007

Handle
Last update
10.03.2025, 11:43 AM CET

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Object type

  • Arbeitspapier

Associated

  • Fried, Roland
  • Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen

Time of origin

  • 2007

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