| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 416128 | Computational Statistics & Data Analysis | 2009 | 9 Pages |
Abstract
A fast update algorithm for online calculation of the QnQn scale estimator is presented. This algorithm allows robust analysis of high-frequency time series in real time. It provides reliable estimates of a time-varying volatility even if many large outliers are present and it offers good efficiency in the case of clean Gaussian data.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Robin Nunkesser, Roland Fried, Karen Schettlinger, Ursula Gather,