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
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Englisch
- Bibliographic citation
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Series: Technical Report ; No. 2007,20
- Subject
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time series filtering
jumps
outliers
test resistance
Zeitreihenanalyse
Statistischer Test
Robustes Verfahren
Theorie
- Event
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Geistige Schöpfung
- (who)
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Fried, Roland
- Event
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Veröffentlichung
- (who)
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Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
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Dortmund
- (when)
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2007
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Fried, Roland
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2007