Robust regression and outlier detection
Robust regression and outlier detection
Introduction to Algorithms
Computing the update of the repeated median regression line in linear time
Information Processing Letters
Repeated median and hybrid filters
Computational Statistics & Data Analysis
Online analysis of time series by the Qn estimator
Computational Statistics & Data Analysis
Robust online signal extraction from multivariate time series
Computational Statistics & Data Analysis
Data-driven modeling approaches to support wastewater treatment plant operation
Environmental Modelling & Software
2D mapping of LA-ICPMS trace element distributions using R
Computers & Geosciences
On robust cross-validation for nonparametric smoothing
Computational Statistics
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We discuss moving window techniques for fast extraction of a signal composed of monotonic trends and abrupt shifts from a noisy time series with irrelevant spikes. Running medians remove spikes and preserve shifts, but they deteriorate in trend periods. Modified trimmed mean filters use a robust scale estimate such as the median absolute deviation about the median (MAD) to select an adaptive amount of trimming. Application of robust regression, particularly of the repeated median, has been suggested for improving upon the median in trend periods. We combine these ideas and construct modified filters based on the repeated median offering better shift preservation. All these filters are compared w.r.t. fundamental analytical properties and in basic data situations. An algorithm for the update of the MAD running in time O(log n) for window width n is presented as well.