Nunkesser, Robin; Fried, Roland; Schettlinger, Karen; … - In: Computational Statistics & Data Analysis 53 (2009) 6, pp. 2354-2362
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...