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Fokianos, Konstantions; Fried, Roland - 2009

We study the problem of intervention effects generating various types of outliers in a linear count time series model … detection and estimation of sudden shifts and outliers. To identify successfully such unusual events we employ the maximum of …

Persistent link: https://www.econbiz.de/10010316418

Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing

Vetter, Mathias; Podolskij, Mark; Dette, Holger - 2004

Properties of a specification test for the parametric form of the variance function in diffusion processes dXt = b (t,Xt) dt + sigma (t,Xt) dWt are discussed. The test is based on the estimation of certain integrals of the volatility function. If the volatility function does not depend on the...

Persistent link: https://www.econbiz.de/10010296615

Bootstrap tests for the error distribution in linear and nonparametric regression models

Nagel, Eva-Renate; Dette, Holger; Neumeyer, Natalie - 2004

In this paper we investigate several tests for the hypothesis of a parametric form of the error distribution in the common linear and nonparametric regression model, which are based on empirical processes of residuals. It is well known that tests in this context are not asymptotically...

Persistent link: https://www.econbiz.de/10010296621

On group sequential tests based on robust location and scale estimators in the two-sample problem

Christmann, Andreas - 1998

The behaviour of group sequential tests in the two-sample problem is investigated if one replaces the classical non-robust estimators in the t-test statistic by modern robust estimators of location and scale. Hampel's 3-part redescending M-estimator 25A used in the Princeton study and the robust...

Persistent link: https://www.econbiz.de/10011335348

Modified repeated median filters

Bernholt, Thorsten; Fried, Roland; Gather, Ursula; … - 2004

We discuss moving window techniques for fast extraction of a signal comprising monotonic trends and abrupt shifts from a noisy time series with irrelevant spikes. Running medians remove spikes and preserve shifts, but they deteriorate in trend periods. Modified trimmed mean filters use a robust...

Persistent link: https://www.econbiz.de/10010296630

On rank tests for shift detection in time series

Fried, Roland; Gather, Ursula - 2006

robustness against outliers. Wilcoxon scores in combination with a robust and efficient scale estimator achieve good performance …

Persistent link: https://www.econbiz.de/10010296763

On the robust detection of edges in time series filtering

Fried, Roland - 2007

signal extraction. We investigate rules for detecting level shifts that are resistant to outliers and which work with only a …

Persistent link: https://www.econbiz.de/10010298203

Robust shift detection in time-varying autoregressive processes

Fried, Roland - 2008

by a substantial amount of outliers. Tests based on a comparison of local medians standardized by a highly robust …

Persistent link: https://www.econbiz.de/10010300669

Repeated median and hybrid filters

Fried, Roland; Bernholt, Thorsten; Gather, Ursula - 2004

Standard median filters preserve abrupt shifts (edges) and remove impulsive noise (outliers) from a constant signal but … much more vulnerable to outliers. Application of robust regression methods, in particular of the repeated median, has been … 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/10010306275

Outlier detection in experimental data using a modified Hampel identifier

Selinski, Silvia; Becker, Claudia - 2001

The present method allows to detect outlying observations in data which may be described by a deterministic function plus a stochastic component. This type of functional relationship often occurs in experimental data, in toxicological research, for instance. The Hampel identifier, an outlier...

Persistent link: https://www.econbiz.de/10010316448