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Robust online scale estimation in time series : regression-free approach
Gelper, Sarah; Schettlinger, Karen; Croux, Christophe; … - 2007
This paper presents variance extraction procedures for univariate time series. The volatility of a times series is monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of triangles formed by consecutive observations of the time...
Persistent link: https://www.econbiz.de/10010298200
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Robust online scale estimation in time series : regression-free approach
Gelper, Sarah; Schettlinger, Karen; Croux, Christophe; … - 2007
This paper presents variance extraction procedures for univariate time series. The volatility of a times series is monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of triangles formed by consecutive observations of the time...
Persistent link: https://www.econbiz.de/10003483698
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Robust control charts for time series data
Croux, Christophe; Gelper, Sarah; Mahieu, Koen - 2010
Persistent link: https://www.econbiz.de/10008664194
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Robust forecasting of non-stationary time series
Croux, Christophe; Fried, Roland; Gijbels, Irène; … - 2010
Persistent link: https://www.econbiz.de/10008664197
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Least angle regression for time series forecasting with many predictors
Gelper, Sarah; Croux, Christophe - 2008
Persistent link: https://www.econbiz.de/10003976884
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Prediction focussed model selection for autoregressive models
Claeskens, Gerda (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003617255
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The predictive power of the European economic sentiment indicator
Gelper, Sarah (contributor); Croux, Christophe (contributor) - 2007
Persistent link: https://www.econbiz.de/10003621862
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Robust online scale estimation in time series : a regression-free approach
Gelper, Sarah; Schettlinger, Karen; Croux, Christophe; … - 2007
Persistent link: https://www.econbiz.de/10003623661
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Robust forecasting with exponential and Holt-Winters smoothing
Gelper, Sarah (contributor); Fried, Roland (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003623718
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Robust M-estimation of multivariate conditionally heteroscedastic time series models with elliptical innovations
Boudt, Kris (contributor); Croux, Christophe (contributor) - 2007
Persistent link: https://www.econbiz.de/10003624500