Robust regression-based online filters for multivariate time series are proposed and their performance in real time signal extraction settings is discussed. The focus is on methods that can deal with time series exhibiting trends, level changes, outliers and a high level of noise as well as...

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...

We propose elliptical graphical models based on conditional uncorrelatedness as a robust generalization of Gaussian graphical models. Letting the population distribution be elliptical instead of normal allows the fitting of data with arbitrarily heavy tails. We study the class of proportionally...