Scientific article

Robust estimation for discrete‐time state space models

Publication date2020

State space models (SSMs) are nowubiquitous in many fields and increasingly complicated with observed and unobserved variables often interacting in non-linear fashions. The crucial task of validating model assumptions thus becomes difficult, particularly since some assumptions are formulated about unobserved states and thus cannot be checked with data. Motivated by the complex SSMs used for the assessment of fish stocks,we introduce a robust estimation method for SSMs. We prove the Fisher consistency of our estimator and propose an implementation based on automatic differentiation and the Laplace approximation of integrals which yields fast computations. Simulation studies demonstrate that our robust procedure performs well both with and without deviations from model assumptions. Applying it to the stock assessment model for pollock in the North Sea highlights the ability of our procedure to identify years with atypical observations.

  • Bounded influence function
  • Fish stock assessment
  • Laplace approximation
  • Random effects
  • Template
  • Model Builder
Citation (ISO format)
AEBERHARD, William H. et al. Robust estimation for discrete‐time state space models. In: Scandinavian Journal of Statistics, 2020, p. 23. doi: 10.1111/sjos.12482
Main files (1)
Article (Accepted version)
ISSN of the journal1467-9469

Technical informations

Creation07/17/2020 7:55:00 PM
First validation07/17/2020 7:55:00 PM
Update time03/15/2023 10:18:46 PM
Status update03/15/2023 10:18:45 PM
Last indexation01/17/2024 10:25:39 AM
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