var.n: Variance of the Repeated Median slope estimator.

In robfilter: Robust Time Series Filters

Variance of the Repeated Median slope estimator.

Description

Empirical variance of the Repeated Median slope estimator, computed on standard normal noise in moving windows of width n; required by the function scarm.filter.

Usage

data(var.n)

Format

The format is: num [1:300] NA NA NA NA 0.138 ...

Details

The variance of the Repeated Median slope estimator depends on the size of the window sample, i.e. the window width n. These are results from simulations, where the Repeated Median slope has been computed on standard normal noise in moving windows of width n. The value var.n[n] is the variance for the window width n.

Source

The empirical variances have been obtained by simulations.

References

Borowski, M. and Fried, R. (2011) Robust moving window regression for online signal extraction from non-stationary time series: online window width adaption by testing for signal changes, submitted.

robfilter documentation built on Sept. 11, 2024, 6:05 p.m.