Reliable automatic methods are needed for statistical online monitoring of noisy time series. Application of a robust scale estimator allows to use adaptive thresholds for the detection of outliers and level shifts. We propose a fast update algorithm for the Qn estimator and show by simulations that it leads to more powerful tests than other highly robust scale estimators.
CITATION STYLE
Nunkesser, R., Schettlinger, K., & Fried, R. (2008). Applying the Qn estimator online. In Studies in Classification, Data Analysis, and Knowledge Organization (pp. 277–284). Kluwer Academic Publishers. https://doi.org/10.1007/978-3-540-78246-9_33
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