Robust Online Scale Estimation in Time Series: A Regression-Free Approach

41 Pages Posted: 1 Feb 2008

See all articles by Sarah Gelper

Sarah Gelper

KU Leuven - Faculty of Business and Economics (FEB)

Karen Schettlinger

Technische Universität Dortmund, Fakultät Statistik

Christophe Croux

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); Catholic University of Leuven (KUL) - Department of Applied Economics

Ursula Gather

affiliation not provided to SSRN

Date Written: May 2007

Abstract

This paper presents variance extraction procedures for univariate time series. The volatility of a times series is monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of triangles formed by consecutive observations of the time series. This idea was proposed by Rousseeuw and Hubert (1996, Regression-free and robust estimation of scale for bivariate data, Computational Statistics and Data Analysis, 21, 67{85) in the bivariate setting. This paper extends their procedure to apply for online scale estimation in time series analysis. The statistical properties of the new methods are derived and nite sample properties are given. A nancial and a medical application illustrate the use of the procedures.

Keywords: Breakdown point, Inuence function, Online monitoring, Outliers, Robust scale estimation

Suggested Citation

Gelper, Sarah and Schettlinger, Karen and Croux, Christophe and Gather, Ursula, Robust Online Scale Estimation in Time Series: A Regression-Free Approach (May 2007). Available at SSRN: https://ssrn.com/abstract=1089390 or http://dx.doi.org/10.2139/ssrn.1089390

Sarah Gelper (Contact Author)

KU Leuven - Faculty of Business and Economics (FEB) ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

Karen Schettlinger

Technische Universität Dortmund, Fakultät Statistik ( email )

Vogelpothsweg 87
Dortmund, 44227
Germany

HOME PAGE: http://www.statistik.tu-dortmund.de/schettlinger.html

Christophe Croux

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium

Catholic University of Leuven (KUL) - Department of Applied Economics ( email )

Leuven, B-3000
Belgium

Ursula Gather

affiliation not provided to SSRN ( email )

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