Regression-Based, Regression-Free and Model-Free Approaches for Robust Online Scale Estimation
28 Pages Posted: 27 Mar 2009
Date Written: November 2008
This paper compares methods for variability extraction from a univariate time series in real time. The online scale estimation is achieved by applying a robust scale functional to a moving time window. Scale estimators based on the residuals of a preceding regression step are compared with regressionfree and model-free techniques in a simulation study and in an application to a real time series.
In the presence of level shifts or strong non-linear trends in the signal level, the model-free scale estimators perform especially well. However, the investigated regression-free and regression-based methods have higher breakdown points, they are applicable to data containing temporal correlations, and they are much more efficient.
Keywords: real-time estimation, robustness, time series, variability
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