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Weighted repeated median smoothing and filtering.

Fried, R. and Einbeck, J. and Gather, U. (2007) 'Weighted repeated median smoothing and filtering.', Journal of the American Statistical Association., 102 (480). pp. 1300-1308.

Abstract

We propose weighted repeated median filters and smoothers for robust non-parametric regression in general and for robust online signal extraction from time series in particular. The new methods allow to remove outlying sequences and to preserve discontinuities (shifts) in the underlying regression function (the signal) in the presence of local linear trends. Suitable weighting of the observations according to their distances in the design space reduces the bias arising from non-linearities and improves the efficiency using larger bandwidths, while still distinguishing long-term shifts from outlier sequences. Other localized robust regression techniques like S-, M- and MM-estimators as well as weighted L_1-regression are included for comparison.

Item Type:Article
Keywords:Signal extraction, Robust regression, Outliers, Breakdown point.
Full text:PDF - Accepted Version (191Kb)
Status:Peer-reviewed
Publisher Web site:http://dx.doi.org/10.1198/016214507000001166
Record Created:20 Jun 2008
Last Modified:08 Sep 2011 09:35

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