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Robust detail-preserving signal extraction

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  • Gather, Ursula
  • Fried, Roland
  • Lanius, Vivian

Abstract

We discuss robust filtering procedures for signal extraction from noisy time series. Particular attention is paid to the preservation of relevant signal details like abrupt shifts. moving averages and running medians are widely used but have shortcomings when large spikes (outliers) or trends occur. Modifications like modified trimmed means and linear median hybrid filters combine advantages of both approaches, but they do not completely overcome the difficulties. Better solutions can be based on robust regression techniques, which even work in real time because of increased computational power and faster algorithms. Reviewing previous work we present filters for robust signal extraction and discuss their merits for preserving trends, abrupt shifts and local extremes as well as for the removal of outliers.

Suggested Citation

  • Gather, Ursula & Fried, Roland & Lanius, Vivian, 2005. "Robust detail-preserving signal extraction," Technical Reports 2005,54, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200554
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    References listed on IDEAS

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    1. Struyf, Anja J. & Rousseeuw, Peter J., 1999. "Halfspace Depth and Regression Depth Characterize the Empirical Distribution," Journal of Multivariate Analysis, Elsevier, vol. 69(1), pages 135-153, April.
    2. Gather, Ursula & Einbeck, Jochen & Fried, Roland, 2005. "Weighted Repeated Median Smoothing and Filtering," Technical Reports 2005,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Fried, Roland & Gather, Ursula, 2004. "Methods and algorithms for robust filtering," Technical Reports 2004,44, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    4. Saleem A. Kassam, 1982. "Robust Hypothesis Testing and Robust Time Series Interpolation And Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 185-194, May.
    5. Bernholt, Thorsten & Fried, Roland & Gather, Ursula & Wegner, Ingo, 2004. "Modified repeated median filters," Technical Reports 2004,46, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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