High Breakdown Methods of Time Series Analysis
时间序列分析的高崩溃点方法
SUMMARY A robust form of the discrete Fourier transform is developed that can handle large amounts of contamination and patchy outliers. We use robust regression to fit a sine and cosine coefficient at each Fourier frequency, and these coefficients are then inverse Fourier transformed to give a filtered version of the data. The filtered series can then be analysed with conventional methods. The limiting breakdown bound of the filter is 50%. Other properties of the filter are…