Robust shift detection in time-varying autoregressive processes

Roland Fried

No 2008,01, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: Tests for shift detection in locally-stationary autoregressive time series are constructed which resist contamination by a substantial amount of outliers. Tests based on a comparison of local medians standardized by a highly robust estimate of the variability show reliable performance in a broad variety of situations if the thresholds are adjusted for possible autocorrelations.

Keywords: Jumps; Outliers; Test Resistance; Time Series (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200801

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