IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v79y2009i18p1900-1905.html
   My bibliography  Save this article

Efficient and robust scale estimation for trended time series

Author

Listed:
  • Caliskan, Derya
  • Croux, Christophe
  • Gelper, Sarah

Abstract

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.

Suggested Citation

  • Caliskan, Derya & Croux, Christophe & Gelper, Sarah, 2009. "Efficient and robust scale estimation for trended time series," Statistics & Probability Letters, Elsevier, vol. 79(18), pages 1900-1905, September.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:18:p:1900-1905
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(09)00198-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Genton, Marc G., 1998. "Asymptotic variance of M-estimators for dependent Gaussian random variables," Statistics & Probability Letters, Elsevier, vol. 38(3), pages 255-261, June.
    2. Rousseeuw, Peter J. & Hubert, Mia, 1996. "Regression-free and robust estimation of scale for bivariate data," Computational Statistics & Data Analysis, Elsevier, vol. 21(1), pages 67-85, January.
    3. Nunkesser, Robin & Fried, Roland & Schettlinger, Karen & Gather, Ursula, 2009. "Online analysis of time series by the Qn estimator," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2354-2362, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Boente, Graciela & Ruiz, Marcelo & Zamar, Ruben H., 2010. "On a robust local estimator for the scale function in heteroscedastic nonparametric regression," Statistics & Probability Letters, Elsevier, vol. 80(15-16), pages 1185-1195, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Josef Broder & Paat Rusmevichientong, 2012. "Dynamic Pricing Under a General Parametric Choice Model," Operations Research, INFORMS, vol. 60(4), pages 965-980, August.
    2. Boente, Graciela & Ruiz, Marcelo & Zamar, Ruben H., 2010. "On a robust local estimator for the scale function in heteroscedastic nonparametric regression," Statistics & Probability Letters, Elsevier, vol. 80(15-16), pages 1185-1195, August.
    3. Croux, Christophe & Gelper, Sarah & Mahieu, Koen, 2010. "Robust exponential smoothing of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2999-3006, December.
    4. Gelper, Sarah & Schettlinger, Karen & Croux, Christophe & Gather, Ursula, 2007. "Robust online scale estimation in time series : regression-free approach," Technical Reports 2007,17, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Genton, Marc G. & Ma, Yanyuan, 1999. "Robustness properties of dispersion estimators," Statistics & Probability Letters, Elsevier, vol. 44(4), pages 343-350, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:79:y:2009:i:18:p:1900-1905. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.