Efficient and robust scale estimation for trended time series

This paper presents a new method 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.

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Year of publication:	2009
Authors:	Caliskan, Derya ; Croux, Christophe ; Gelper, Sarah
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 18, p. 1900-1905
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023126