Efficient and robust scale estimation for trended time series

DOI10.1016/J.SPL.2009.05.019MaRDI QIDQ842952zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic variance of \(M\)-estimators for dependent Gaussian random variables
• High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale
• Online analysis of time series by the \(Q_n\) estimator
• Regression-free and robust estimation of scale for bivariate data
• Residual variance and residual pattern in nonlinear regression
• Robust online scale estimation in time series: a model-free approach

Cited in

(7)

• Estimation of scale functions to model heteroscedasticity by regularised kernel-based quantile methods
• 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.
• Online analysis of time series by the \(Q_n\) estimator
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