[Statlist] Séminaire, Institut de Statistique Université de Neuchâtel, 27 mai 2008

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S�minaire de Statistique 
Institut de Statistique, Universit� de Neuch�tel 

Pierre � Mazel 7 (1er �tage,salle 110), Neuch�tel,

http://www2.unine.ch/statistics

Mardi 27 mai 2008, 11h00

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Christophe Croux, Catholic University of Leuven, Belgium  

 

Robust online estimation of scale 

 

This paper presents variance extraction procedures for univariate time series. The volatility of a times series is monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of triangles formed by consecutive observations of the time series.  The statistical properties of the new methods are derived and finite sample properties are given. A financial and a medical application illustrate the use of the procedures. 

 

Vous pouvez consulter le programme des s�minaires de l'institut de statistique sur la page http://www2.unine.ch/statistics/page19813.html <http://www2.unine.ch/statistics/page19813.html> 


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