We discuss filtering procedures for robust extraction of a signal from noisy time series. Moving averages and running medians are standard methods for this, but they have shortcomings when large spikes (outliers) respectively trends occur. Modified trimmed means and linear median hybrid filters...

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...

In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its associated sequential partial sum process under...

Central limit theorem, quadratic variation, bipower variation

A new class of non-parametric control charts for de- tecting the change in the process mean is examined. The method, called a Vertical Box Control Chart (V-Box Chart), offers a simple and quick detection of the mean change in an observed process. No parametric assumption on the distribution...

In intensive care, time series of vital parameters have to be analysed online, i.e. without any time delay, since there may be serious consequences for the patient otherwise. Such time series show trends, slope changes and sudden level shifts, and they are overlaid by strong noise and many...

Today, large collections of digital music plays are available. These audio data are time series which need to be indexed and classified for diverse applications. Indexing and classification differs from time series analysis, in that it generalises several series, whereas time series analysis...

This paper deals with the problem of the discrimination between wellpredictable and not-well-predictable time series. One criterion for the separation is given by the size of the Lyapunov exponent, which was originally defined for deterministic systems. However, the Lyapunov exponent can also be...

This paper analyses the influence of 13 stylized facts of the German economy on the West German business cycles from 1955 to 1994. The method used in this investigation is Statistical Experimental Design with orthogonal factors. We are looking for all existing Plackett-Burman designs realizable...

We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale. To accomplish this, we exploit the properties of the price range as a volatility proxy and suggest a new method for non-parametric measurement of return variation. Assuming...