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Robust Inference for Time Series Models: a Wavelet-Based Framework

Year 2015
Description 27
Abstract We present a new framework for the robust estimation of time series models which is fairly general and, for example, covers models going from ARMA to state-space models. This approach provides estimators which are (i) consistent and asymptotically normally distributed, (ii) applicable to a broad spectrum of time series models, (iii) straightforward to implement and (iv) computationally efficient. The framework is based on the recently developed Generalized Method of Wavelet Moments and a new robust estimator of the wavelet variance. Compared to existing methods, the latter directly estimates the quantity of interest while performing better in finite samples and using milder conditions for its asymptotic properties to hold. Hence, not only does this paper provide an alternative estimator which allows to perform wavelet variance analysis when data are contaminated but also a general approach to robustly estimate the parameters of a variety of time series models. The simulation studies carried out confirm the better performance of the proposed estimators and the usefulness and broadness of the proposed methodology is shown using practical examples from the domains of hydrology and engineering with sample sizes up to 500,000.
Keywords Wavelet varianceTime seriesState-space modelsKalman filterSignal processingMultiscale and latent processes
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MOLINARI, Roberto Carlo, GUERRIER, Stéphane, VICTORIA-FESER, Maria-Pia. Robust Inference for Time Series Models: a Wavelet-Based Framework. 2015. https://archive-ouverte.unige.ch/unige:55511

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Deposited on : 2015-04-14

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