Efficient and robust scale estimation for trended time series |
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| Authors: | Derya Caliskan Christophe Croux Sarah Gelper |
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| Affiliation: | aLSTAT & Faculty of Business and Economics, K.U.Leuven, Belgium;bDepartment of Statistics, Hacettepe University, Turkey;cErasmus School of Economics, Erasmus University Rotterdam, The Netherlands |
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| Abstract: | This paper presents a new method for robust online variability extraction in time series. The proposed estimator is simultaneously highly robust and efficient. We derive its breakdown point, influence function, and asymptotic variance and study the finite sample properties in a simulation study. |
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