Robust online signal extraction from multivariate time series

DOI10.1016/J.CSDA.2009.10.009MaRDI QIDQ962348zbMATH OpenOpenAlexFDO

Authors Vivian Lanius, Ursula Gather

Publication date 6 April 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/25862

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Robustness and adaptive procedures (parametric inference) (62F35) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

Recommendations

• Multivariate Real-Time Signal Extraction by a Robust Adaptive Regression Filter
• Robust filtering of time series with trends
• Methods and algorithms for robust filtering
• Robust detail-preserving signal extraction
• Robust signal extraction for on-line monitoring data.

Cites work

• Alternatives to the Median Absolute Deviation
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• Breakdown and groups. (With discussions and rejoinder)
• Constrained \(M\)-estimation for multivariate location and scatter
• Estimates of Regression Coefficients Based on Lift Rank Covariance Matrix
• High breakdown estimators for principal components: the projection-pursuit approach revis\-ited
• Highly robust estimation of dispersion matrices
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• scientific article; zbMATH DE number 2172873 (Why is no real title available?)
• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• Least Median of Squares Regression
• Methods and algorithms for robust filtering
• Multivariate least-trimmed squares regression estimator
• On multivariate median regression
• On multivariate quantile regression
• On Some Alternative Estimates for Shift in the P-Variate One Sample Problem
• On the relation between S-estimators and M-estimators of multivariate location and covariance
• Online signal extraction by robust linear regression
• Projection-Pursuit Approach to Robust Dispersion Matrices and Principal Components: Primary Theory and Monte Carlo
• Regression Depth
• Repeated median and hybrid filters
• Robust detail-preserving signal extraction
• Robust estimation of the conditional median function at elliptical models
• Robust filtering of time series with trends
• Robust regression using repeated medians
• Robust signal extraction for on-line monitoring data.
• Small sample corrections for LTS and MCD
• The complexity of computing the MCD-estimator
• The multivariate least-trimmed squares estimator

Cited in

(15)

• Robust signal extraction for on-line monitoring data.
• Special issue on variable selection and robust procedures
• Robust exponential smoothing of multivariate time series
• Robust online-surveillance of trend-coherence in multivariate data streams: the similar trend monitoring (STM) procedure
• Regression-based, regression-free and model-free approaches for robust online scale estimation
• Collaborative adaptive filters for online knowledge extraction and information fusion
• Real-time signal processing by adaptive repeated median filters
• Robust filtering of time series with trends
• Robust detail-preserving signal extraction
• Methods and algorithms for robust filtering
• Reducing false alarms of intensive care online-monitoring systems: an evaluation of two signal extraction algorithms
• Online signal extraction by robust linear regression
• Online signal extraction by robust regression in moving windows with data-adaptive width selection: SCARM -- Slope Comparing Adaptive Repeated Median
• Multivariate Real-Time Signal Extraction by a Robust Adaptive Regression Filter
• Robust online scale estimation in time series: a model-free approach

Describes a project that uses

Uses Software

• ROBPCA

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