On the robust detection of edges in time series filtering

Roland Fried

No 2007,20, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: Abrupt shifts in the level of a time series represent important information and should be preserved in statistical signal extraction. We investigate rules for detecting level shifts that are resistant to outliers and which work with only a short time delay. The properties of robustified versions of the t-test for two independent samples and its non-parametric alternatives are elaborated under different types of noise. Trimmed t-tests, median comparisons, robustified rank and ANOVA tests based on robust scale estimators are compared.

Keywords: time series filtering; jumps; outliers; test resistance (search for similar items in EconPapers)
Date: 2007
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