Arbeitspapier
Jump-preserving monitoring of dependent time series using pilot estimators
An important problem of the statistical analysis of time series is to detect change-points in the mean structure. Since this problem is a one-dimensional version of the higher dimensional problem of detecting edges in images, we study detection rules which benefit from results obtained in image processing. For the sigma-filter studied there to detect edges, asymptotic bounds for the normed delay have been established for independent data. These results are considerably extended in two directions. First, we allow for dependent processes satisfying a certain conditional mixing property. Second, we allow for more general pilot estimators, e.g., the median, resulting in better detection properties. A simulation study indicates that our new procedure indeed performs much more better.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Report ; No. 2004,03
- Thema
-
Image processing
Nonparametric regression
Quality Control
Structural Change
Zeitreihenanalyse
Schätztheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Steland, Ansgar
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (wo)
-
Dortmund
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Steland, Ansgar
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Entstanden
- 2003
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