Robust shift detection in time-varying autoregressive processes

Tests for shift detection in locally-stationary autoregressive time series are constructed which resist contamination by a substantial amount of outliers. Tests based on a comparison of local medians standardized by a highly robust estimate of the variability show reliable performance in a broad variety of situations if the thresholds are adjusted for possible autocorrelations.

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Year of publication:	2008
Authors:	Fried, Roland
Publisher:	Dortmund : Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Jumps \| Outliers \| Test Resistance \| Time Series

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Series:	Technical Report ; 2008,01
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	600050009 [GVK] hdl:10419/36589 [Handle] RePEc:zbw:sfb475:200801 [RePEc]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010300669