On the robust detection of edges in time series filtering
On the robust detection of edges in time series filtering
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DOI：
10.1016/j.csda.2007.06.011
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发表时间：
2007-10-15
影响因子：
1.8
通讯作者：
Fried, Roland
中科院分区：
文献类型：
--
作者：
Fried, Roland
时间序列水平的突变代表了重要的信息，在统计信号提取中应予以保留。各种规则的检测电平变化是抵抗离群值和工作只有短的时间延迟进行了研究。在不同类型的噪声下，详细阐述了两个独立样本及其非参数替代的稳健版t检验的性质。对基于稳健规模估计量的修正t检验、中位数比较、稳健秩和ANOVA检验进行比较。(c) 2007 Elsevier B.V.版权所有
Abrupt shifts in the level of a time series represent important information and should be preserved in statistical signal extraction. Various rules for detecting level shifts that are resistant to outliers and which work with only a short time delay are investigated. The properties of robustified versions of the t-test for two independent samples and its non-parametric alternatives are elaborated under different types of noise. Trimmed t-tests, median comparisons, robustified rank and ANOVA tests based on robust scale estimators are compared. (c) 2007 Elsevier B.V. All rights reserved.