Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25005
Authors: 
Fried, Roland
Year of Publication: 
2007
Series/Report no.: 
Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2007,20
Abstract: 
Abrupt shifts in the level of a time series represent important information and should be preserved in statistical signal extraction. We investigate rules for detecting level shifts that are resistant to outliers and which work with only a short time delay. 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.
Subjects: 
time series filtering
jumps
outliers
test resistance
Document Type: 
Working Paper

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