Gelper, Sarah; Schettlinger, Karen; Croux, Christophe; … - 2007
.
Abstract: This paper presents variance extraction procedures for univariate time
series. The volatility of a times series is … illustrate the use of the procedures.
Keywords: Breakdown Point, In uence function, Online monitoring, Outliers,
Robust scale … to one, the three di erent robust procedures remain quite close to each other
under a large variety of sampling scheme …