Arbeitspapier
Weighted Repeated Median Smoothing and Filtering
We propose weighted repeated median filters and smoothers for robust non-parametric regression in general and for robust signal extraction from time series in particular. The proposed methods allow to remove outlying sequences and to preserve discontinuities (shifts) in the underlying regression function (the signal) in the presence of local linear trends. Suitable weighting of the observations according to their distances in the design space reduces the bias arising from non-linearities. It also allows to improve the efficiency of (unweighted) repeated median filters using larger bandwidths, keeping their properties for distinguishing between outlier sequences and long-term shifts. Robust smoothers based on weighted L1- regression are included for the reason of comparison.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Report ; No. 2005,33
- Thema
-
Signal extraction ; Robust regression ; Outliers ; Breakdown point
Robustes Verfahren
Regression
Nichtparametrisches Verfahren
Zeitreihenanalyse
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gather, Ursula
Einbeck, Jochen
Fried, Roland
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (wo)
-
Dortmund
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gather, Ursula
- Einbeck, Jochen
- Fried, Roland
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Entstanden
- 2005
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