Similar Search Results

Bernholt, Thorsten; Fried, Roland; Gather, Ursula; … - Institut für Wirtschafts- und Sozialstatistik, … - 2004

We discuss moving window techniques for fast extraction of a signal comprising monotonic trends and abrupt shifts from …

Persistent link: https://www.econbiz.de/10009216842

Robust shift detection in time-varying autoregressive processes

Fried, Roland - Institut für Wirtschafts- und Sozialstatistik, … - 2008

Tests for shift detection in locally-stationary autoregressive time series are constructed which resist contamination by a substantial amount of outliers. Tests based on a comparison of local medians standardized by a highly robust estimate of the variability show reliable performance in a broad...

Persistent link: https://www.econbiz.de/10009216982

On rank tests for shift detection in time series

Fried, Roland; Gather, Ursula - Institut für Wirtschafts- und Sozialstatistik, … - 2006

Robustified rank tests, applying a robust scale estimator, are investigated for reliable and fast shift detection in time series. The tests show good power for sufficiently large shifts, low false detection rates for Gaussian noise and high robustness against outliers. Wilcoxon scores in...

Persistent link: https://www.econbiz.de/10009219834

On the robust detection of edges in time series filtering

Fried, Roland - Institut für Wirtschafts- und Sozialstatistik, … - 2007

Abrupt shifts in the level of a time series represent important information and should be preserved in statistical signal extraction. We investigate rules for detecting level shifts that are resistant to outliers and which work with only a short time delay. The properties of robustified versions...

Persistent link: https://www.econbiz.de/10009219877

Repeated median and hybrid filters

Fried, Roland; Bernholt, Thorsten; Gather, Ursula - Institut für Wirtschafts- und Sozialstatistik, … - 2004

suggested for removing subsequent outliers from a signal with trends. A fast algorithm for updating the repeated median in …

Persistent link: https://www.econbiz.de/10009295207

Distinguishing between long-range dependence and deterministic trends

Sibbertsen, Philipp; Venetis, Ioannis - Institut für Wirtschafts- und Sozialstatistik, … - 2003

We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The …

Persistent link: https://www.econbiz.de/10009295212

Long-memory versus structural breaks: An overview

Sibbertsen, Philipp - Institut für Wirtschafts- und Sozialstatistik, … - 2001

We discuss the increasing literature on misspecifying structural breaks or more general trends as long range dependence … memory parameter when structural breaks or trends are in the data but long-memory is not. It can be seen that it is hard to … distinguish deterministic trends from long-range dependence. …

Persistent link: https://www.econbiz.de/10010955378

Log-periodogram estimation of the memory parameter of a long-memory process under trend

Sibbertsen, Philipp - Institut für Wirtschafts- und Sozialstatistik, … - 2001

We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary … invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we … show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good …

Persistent link: https://www.econbiz.de/10010955400