Online analysis of time series by the Qn estimator

Authors:
Robin Nunkesser;Roland Fried;Karen Schettlinger;Ursula Gather
Affiliations:
Fakultät für Informatik, TU Dortmund, 44221 Dortmund, Germany;Fakultät Statistik, TU Dortmund, 44221 Dortmund, Germany;Fakultät Statistik, TU Dortmund, 44221 Dortmund, Germany;Fakultät Statistik, TU Dortmund, 44221 Dortmund, Germany
Venue:
Computational Statistics & Data Analysis
Year:
2009

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Abstract

A fast update algorithm for online calculation of the Q"n scale estimator is presented. This algorithm allows robust analysis of high-frequency time series in real time. It provides reliable estimates of a time-varying volatility even if many large outliers are present and it offers good efficiency in the case of clean Gaussian data.