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CSDA
2007

On the robust detection of edges in time series filtering

9 years 11 months ago
On the robust detection of edges in time series filtering
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.
Roland Fried
Added 13 Dec 2010
Updated 13 Dec 2010
Type Journal
Year 2007
Where CSDA
Authors Roland Fried
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