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...

Local polynomial fitting for univariate data has been widely studied and discussed, but up until now the multivariate equivalent has often been deemed impractical, due to the so-called curse of dimensionality. Here, rather than discounting it completely, we use density as a threshold to...

A robust correlation estimator based on the spatial sign covariance matrix (SSCM) is proposed. We derive its asymptotic distribution and influence function at elliptical distributions. Finite sample and robustness properties are studied and compared to other robust correlation estimators by...

We introduce a method to minimize the mean square error (MSE) of an estimator which is derived from a classification. The method chooses an optimal discrimination threshold in the outcome of a classification algorithm and deals with the problem of unequal and unknown misclassification costs and...