Regression-based, regression-free and model-free approaches for robust online scale estimation

Abstract

This paper compares the methods for variability extraction from a univariate time series in real time. The online scale estimation is achieved by applying a robust scale functional to a moving time window. Scale estimators based on the residuals of a preceding regression step are compared with regression-free and model-freetechniquesinasimulationstudyandinanapplicationtoarealtimeseries.Inthepresenceoflevel shiftsorstrongnon-lineartrendsinthesignallevel,themodel-freescaleestimatorsperformespeciallywell. However, the investigated regression-free and regression-based methods have higher breakdown points, they are applicable to data containing temporal correlations, and they are much more efficient. © 2010 Taylor & Francis.