Efficient and robust scale estimation for trended time series
DOI10.1016/J.SPL.2009.05.019zbMATH Open1170.62356OpenAlexW2098613000MaRDI QIDQ842952FDOQ842952
Authors: Derya Caliskan, Christophe Croux, Sarah Gelper 
Publication date: 28 September 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.05.019
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Point estimation (62F10) Nonparametric estimation (62G05) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Online analysis of time series by the \(Q_n\) estimator
- Residual variance and residual pattern in nonlinear regression
- Regression-free and robust estimation of scale for bivariate data
- Robust online scale estimation in time series: a model-free approach
- High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale
- Asymptotic variance of \(M\)-estimators for dependent Gaussian random variables
Cited In (7)
- Robust online scale estimation in time series: a model-free approach
- On a robust local estimator for the scale function in heteroscedastic nonparametric regression
- Regression-based, regression-free and model-free approaches for robust online scale estimation
- Superefficient estimation of multivariate trend.
- Title not available (Why is that?)
- Online analysis of time series by the \(Q_n\) estimator
- Estimation of scale functions to model heteroscedasticity by regularised kernel-based quantile methods
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