Efficient and robust scale estimation for trended time series

Derya Caliskan , Christophe Croux , Sarah Gelper

This paper presents a new method for robust online variability extraction in time series. The proposed estimator is simultaneously highly robust and efficient. We derive its breakdown point, influence function, and asymptotic variance and study the finite sample properties in a simulation study.

Mots clés: Physical Sciences

Derya Caliskan, Christophe Croux, Sarah Gelper. Efficient and robust scale estimation for trended time series. Statistics and Probability Letters, 2009, 79 (18), pp.1900. ⟨10.1016/j.spl.2009.05.019⟩. ⟨hal-00567355⟩