Sektion Mathematik, Humboldt Universität, PSF 1297, 1086 Berlin, DDR, Germany
Seminar für Statistik, ETH-Zentrum, CH-8092 Zürich, Switzerland
Abstract:
We study the dependence on initial conditions of two recursive filters for cleaning a contaminated time series from additive outliers. We show that the function in the recursive equation is in general not contractive, but nevertheless there exists a stationary solution and two iterates with arbitrary initial conditions coincide after some random time T0. However T0 may be quite large.