Regression-Based, Regression-Free and Model-Free Approaches for Robust Online Scale Estimation

28 Pages Posted: 27 Mar 2009

See all articles by Karen Schettlinger

Karen Schettlinger

Technische Universität Dortmund, Fakultät Statistik

Sarah Gelper

KU Leuven - Faculty of Business and Economics (FEB)

Ursula Gather

affiliation not provided to SSRN

Christophe Croux

KU Leuven - Faculty of Business and Economics (FEB)

Date Written: November 2008

Abstract

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

Suggested Citation

Schettlinger, Karen and Gelper, Sarah and Gather, Ursula and Croux, Christophe, Regression-Based, Regression-Free and Model-Free Approaches for Robust Online Scale Estimation (November 2008). Available at SSRN: https://ssrn.com/abstract=1369126 or http://dx.doi.org/10.2139/ssrn.1369126

Karen Schettlinger (Contact Author)

Technische Universität Dortmund, Fakultät Statistik ( email )

Vogelpothsweg 87
Dortmund, 44227
Germany

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

Sarah Gelper

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

Naamsestraat 69
Leuven, B-3000
Belgium

Ursula Gather

affiliation not provided to SSRN ( email )

Christophe Croux

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

Naamsestraat 69
Leuven, B-3000
Belgium

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