Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 52, Issue 2, Pages 1063-1074Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.csda.2007.06.011
Keywords
time series filtering; jumps; outliers; test resistance
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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. (c) 2007 Elsevier B.V. All rights reserved.
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