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Fried/Raabe/2012a: On the robust analysis of periodic nonstationary time series

Bibtype Inproceedings
Bibkey Fried/Raabe/2012a
Author Fried, Roland and Raabe, Nils and Thieler, Anita
Editor Colubi, Ana and Fokianos, Konstantinos and Kontoghiorghes, Erricos John and González-Rodríguez, Gil
Title On the robust analysis of periodic nonstationary time series
Booktitle Proceedings of COMPSTAT 2012
Series Proceedings of the COMPSTAT
Pages 245--257
Publisher The International Statistical Institute/International Association for Statistical Computing
Abstract Robust methods for the detection of periodic signals in time series are presentedand discussed. The motivation are applications to the modeling of drilling processes and in astroparticlephysics. The considered signals which are measured during drilling processes consistof equidistant observations with known period and gradually changing periodic structure. Thebasic objective is to understand the granularity of di erent materials by analyzing the periodicstructure in order to design suitable simulation models, which render subsequent optimizationof the system possible. For this aim, robust nonparametric smoothers and edge detectors for thereconstruction of periodic jump surfaces are developed and combined. In astroparticle physics,the situation is worse because of very irregular observation times and heteroscedastic noise. Themain interest is in the detection and identi cation of periods, if they exist at all. Suitablymodi ed robust nonparametric smoothers allow construction of generalized periodograms. Signi cant periods are identi ed by application of rules for outlier detection to such periodograms.All methods are investigated by applications to simulated and real data with and without outliers.
Year 2012
Projekt SFB876-C3
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