Robust Estimation in Time Series: An Approximation to the Gaussian Sum Filter

• Main Author: Chow, Hwee Kwan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1994
• Subjects: Local level model; Kalman filter; additive outliers; step jumps; robust estimation; Gaussian sums; collapsing mixtures; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/308; https://doi.org/10.1080/03610929408831459
• Institution: Singapore Management University

This paper proposes a filter which can track the level of a time series robustly and adapt well to step jumps. The filter, called the approximate Gaussian sum filter (AGSF), is derived from the Gaussian sum filter by collapsing the terms in the normal mixtures. Besides producing one-step ahead forec...