Online analysis of time series by the Qn estimator

Robin Nunkesser, Roland Fried, Karen Schettlinger and Ursula Gather

Computational Statistics & Data Analysis, 2009, vol. 53, issue 6, 2354-2362

Abstract: A fast update algorithm for online calculation of the Qn scale estimator is presented. This algorithm allows robust analysis of high-frequency time series in real time. It provides reliable estimates of a time-varying volatility even if many large outliers are present and it offers good efficiency in the case of clean Gaussian data.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:53:y:2009:i:6:p:2354-2362

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