On the stability of robust filter-cleaners

Andreas Brandt and Hans R. Künsch

Stochastic Processes and their Applications, 1988, vol. 30, issue 2, 253-262

Abstract: We study the dependence on initial conditions of two recursive filters for cleaning a contaminated time series from additive outliers. We show that the function in the recursive equation is in general not contractive, but nevertheless there exists a stationary solution and two iterates with arbitrary initial conditions coincide after some random time T0. However T0 may be quite large.

Keywords: additive; outliers; filter-cleaners; recursive; stochastic; equations; robustness; in; time; series (search for similar items in EconPapers)
Date: 1988
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