Gather, Ursula; Fried, Roland; Lanius, Vivian - Institut für Wirtschafts- und Sozialstatistik, … - 2005
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...