Online analysis of time series by the Qn estimator

A fast update algorithm for online calculation of the Qn scale estimator is presented. This algorithm allows robust analysis of high-frequency time series in real time. It provides reliable estimates of a time-varying volatility even if many large outliers are present and it offers good efficiency in the case of clean Gaussian data.

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Year of publication:	2009
Authors:	Nunkesser, Robin ; Fried, Roland ; Schettlinger, Karen ; Gather, Ursula
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 53.2009, 6, p. 2354-2362
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005118477