On the robust detection of edges in time series filtering |
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Authors: | Roland Fried |
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Affiliation: | Department of Statistics, University of Dortmund, 44221 Dortmund, Germany |
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Abstract: | Abrupt shifts in the level of a time series represent important information and should be preserved in statistical signal extraction. Various rules for detecting level shifts that are resistant to outliers and which work with only a short time delay are investigated. 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. |
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Keywords: | Time series filtering Jumps Outliers Test resistance |
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