Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/36590
Authors: 
Gather, Ursula
Fried, Roland
Lanius, Vivian
Year of Publication: 
2005
Series/Report no.: 
Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2005,54
Abstract: 
We discuss robust filtering procedures for signal extraction from noisy time series. Particular attention is paid to the preservation of relevant signal details like abrupt shifts. moving averages and running medians are widely used but have shortcomings when large spikes (outliers) or trends occur. Modifications like modified trimmed means and linear median hybrid filters combine advantages of both approaches, but they do not completely overcome the difficulties. Better solutions can be based on robust regression techniques, which even work in real time because of increased computational power and faster algorithms. Reviewing previous work we present filters for robust signal extraction and discuss their merits for preserving trends, abrupt shifts and local extremes as well as for the removal of outliers.
Document Type: 
Working Paper

Files in This Item:
File
Size
192.91 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.