Robust online signal extraction from multivariate time series

Computational Statistics and Data Analysis

Volumn 54, Issue 4, 2010, Pages 966-975

  Lanius, Vivian ^a   Gather, Ursula ^b  

^a Kavalierstr 4A   (Germany)

^b TU DORTMUND UNIVERSITY   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

LEVEL CHANGE; MULTIVARIATE TIME SERIES; ON-LINE PROCEDURES; REAL TIME SIGNAL; ROBUST REGRESSIONS; SIGNAL EXTRACTION; STEADY STATE;

MEDICAL APPLICATIONS; SIGNAL FILTERING AND PREDICTION; SIGNAL PROCESSING;

TIME SERIES;

EID: 73149100786     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2009.10.009     Document Type: Article

References (44)

1. Agulló J., Croux C., and Van Aelst S. The multivariate least trimmed squares estimator. Journal of Multivariate Analysis 99 (2008) 311-338
2. Bernholt T., and Fischer P. The complexity of computing the MCD-estimator. Theoretical Computer Science 326 (2004) 383-398
3. Bernholt T., Fried R., Gather U., and Wegener I. Modified repeated median filters. Statistics and Computing 16 (2006) 177-192
4. Bickel P.J. On some alternative estimates for shift in the p-variate one sample problem. Annals of Mathematical Statistics 35 (1964) 1079-1090
5. Chakraborty B. On multivariate median regression. Bernoulli 5 (1999) 683-703
6. Chakraborty B. On multivariate quantile regression. Journal of Statistical Planning and Inference 110 (2003) 109-132
7. Crack T.F., and Ledoit O. Robust structure without predictability: The "compass rose" pattern of the stock market. The Journal of Finance 51 (1996) 751-762
8. Croux C., Dehon C., Rousseeuw P.J., and Van Aelst S. Robust estimation of the conditional median function at elliptical models. Statistics and Probability Letters 51 (2001) 361-368
9. Croux C., and Haesbroeck G. Influence function and efficiency of the minimum covariance determinant scatter matrix estimator. Journal of Multivariate Analysis 71 (1999) 161-190
10. Croux C., and Ruiz-Gazen A. A fast algorithm for robust principal components based on projection pursuit. Proceedings in Computational Statistics, COMPSTAT (1996), Physica-Verlag 211-216
11. Croux C., and Ruiz-Gazen A. High breakdown estimators for principal components: The projection-pursuit approach revisited. Journal of Multivariate Analysis 95 (2005) 206-226
12. Davies P.L. Asymptotic behavior of S-estimates of multivariate location parameters and dispersion matrices. Annals of Statistics 15 (1987) 1269-1292
13. Davies P.L., Fried R., and Gather U. Robust signal extraction from on-line monitoring data. Journal of Statistical Planning and Inference 122 (2004) 65-78
14. Davies P.L., and Gather U. Breakdown and groups (with discussion). Annals of Statistics 33 (2004) 977-1035
15. Donoho, D.L., 1982. Breakdown properties of multivariate location estimators. Ph.D. qualifying paper, Harvard university
16. Edgeworth F.J. A new method of reducing observations relating to several questions. Phil. Mag. 24 (1887) 184-191
17. Fried R. Robust filtering of time series with trends. Nonparametric Statistics 16 (2004) 313-328
18. Fried R., Bernholt T., and Gather U. Repeated median and hybrid filters. Computational Statistics and Data Analysis 50 (2006) 2313-2338
19. Gather U., and Fried R. Robust estimation of scale for local linear temporal trends. In: Stulajter F. (Ed). Proceedings of the 4th International Conference on Mathematical Statistics PROBASTAT 2002, vol. 26 (2003), Tatra Mountain Mathematical Publications 87-101
20. Gather U., and Fried R. Methods and algorithms for robust filtering. In: Antoch J. (Ed). Proceedings in Computational Statistics COMPSTAT 2004 (2004), Physica-Verlag, Heidelberg 159-170
21. Gather U., Fried R., and Lanius V. Robust detail-preserving signal extraction. In: Schelter B., Winterhalder M., and Timmer J. (Eds). Handbook of Time Series Analysis (2006), Wiley-VCH, Weinheim 143-169 (Chapter 6)
22. Gather U., Schettlinger K., and Fried R. Online signal extraction by robust linear regression. Computational Statistics 21 (2006) 33-51
23. Gnanadesikan R., and Kettenring J.R. Robust estimates, residuals, and outlier detection with multiresponse data. Biometrics 28 (1972) 81-124
24. Hampel F.R. Beyond location parameters: Robust concepts and methods. Bulletin of the International Statistical Institute 46 (1975) 375-382
25. Hubert M., Rousseeuw P.J., and Vanden Branden K. ROBPCA: A new approach to robust principal component analysis. Technometrics 47 (2005) 64-79
26. Jung K.-M. Multivariate least-trimmed squares regression estimator. Computational Statistics and Data Analysis 48 (2005) 307-316
27. Kent J.T., and Tyler D.E. Constrained M-estimation for multivariate location and scatter. Annals of Statistics 24 (1996) 1346-1370
28. Koivunen V. Nonlinear filtering of multivariate images under robust error criterion. IEEE Transactions on Image Processing 5 (1996) 1054-1060
29. Lanius, V., 2005. Statistische Extraktion relevanter Informationen aus multivariaten Online-Monitoring-Daten der Intensivmedizin. Ph.D. thesis, Department of Statistics, University of Dortmund
30. Lee Y., and Kassam S. Generalized median filtering and related nonlinear filtering techniques. IEEE Transactions on Acoustics, Speech, and Signal Processing 33 (1985) 672-683
31. Li G., and Chen Z. Projection-pursuit approach to robust dispersion matrices and principal components: Primary theory and Monte Carlo. Journal of the American Statistical Society 80 (1985) 759-766
32. Lopuhaä H.P. On the relation between S-estimators and M-estimators of multivariate location and covariance. Annals of Statistics 17 (1989) 1662-1683
33. Ma Y., and Genton M.G. Highly robust estimation of dispersion matrices. Journal of Multivariate Analysis 78 (2001) 11-36
34. Maronna R.A., and Zamar R.H. Robust estimates of location and dispersion for high-dimensional datasets. Technometrics 44 (2002) 307-317
35. Ollila E., Oja H., and Koivunen V. Estimates of regression coefficients based on lift rank covariance matrix. Journal of the American Statistical Association 98 (2003) 90-98
36. Pison G., Van Aelst S., and Willems G. Small sample corrections for LTS and MCD. Metrika 55 (2002) 111-123
37. Rousseeuw P.J. Multivariate estimation with high breakdown point. In: Grossmann W., Pflug G., Vincze I., and Wertz W. (Eds). Proceedings of the 4th Pannonian Symposium on Mathematical Statistics and Probability, vol. B (1983), D. Reidel Publishing Company, Dordrecht
38. Rousseeuw P.J. Least median of squares regression. Journal of the American Statistical Association 79 (1984) 871-880
39. Rousseeuw P.J., and Croux C. Alternatives to the median absolute deviation. Journal of the American Statistical Association 88 (1993) 1273-1283
40. Rousseeuw P.J., and Hubert M. Regression Depth. Journal of the American Statistical Association 94 (1999) 388-402
41. Rousseeuw P.J., Van Aelst S., Van Driessen K., and Agulló J. Robust multivariate regression. Technometrics 46 (2004) 293-305
42. Rousseeuw P.J., and Van Driessen K. A fast algorithm for the minimum covariance determinant estimator. Technometrics 41 (1999) 212-223
43. Stahel, W.A., 1981. Breakdown of covariance estimators. Research Report 31, Fachgruppe für Stochastik, ETH Zürich
44. Siegel A.F. Robust regression using repeated medians. Biometrika 68 (1982) 242-244