Modified repeated median filters
Modified repeated median filters
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DOI：
10.1007/s11222-006-8449-1
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发表时间：
2006-06
影响因子：
2.2
通讯作者：
T. Bernholt;R. Fried;U. Gather;I. Wegener
中科院分区：
文献类型：
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作者：
T. Bernholt;R. Fried;U. Gather;I. Wegener
我们讨论了移动窗口技术快速提取的信号组成的单调趋势和突然变化的噪声时间序列与不相关的尖峰。运行中位去除峰值并保持变化，但在趋势期它们会恶化。修正的修剪均值滤波器使用稳健的尺度估计，例如关于中值的中值绝对偏差（MAD）来选择自适应的修剪量。稳健回归的应用，特别是重复中位数，已被建议用于改善趋势期的中位数。我们结合联合收割机这些想法，并构造修改后的过滤器的基础上，提供更好的移位保存的重复中值。所有这些过滤器都进行了相对比较基本分析性质和基本数据情况。给出了窗口宽度为O（logn）的MAD更新算法。
We discuss moving window techniques for fast extraction of a signal composed of monotonic trends and abrupt shifts from a noisy time series with irrelevant spikes. Running medians remove spikes and preserve shifts, but they deteriorate in trend periods. Modified trimmed mean filters use a robust scale estimate such as the median absolute deviation about the median (MAD) to select an adaptive amount of trimming. Application of robust regression, particularly of the repeated median, has been suggested for improving upon the median in trend periods. We combine these ideas and construct modified filters based on the repeated median offering better shift preservation. All these filters are compared w.r.t. fundamental analytical properties and in basic data situations. An algorithm for the update of the MAD running in timeO(logn) for window widthnis presented as well.