M-Estimation of Scale Parameters in a Structural Time Series Model
We develop scale estimators of a structural time series model which are robust towards additive outliers. This is done by extending the application of the $M$-estimation technique to the scale estimation problem in time series data. A Monte Carlo experiment is carried out to study the robust propert...
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Institutional Knowledge at Singapore Management University
1996
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sg-smu-ink.soe_research-14612010-09-23T05:48:03Z M-Estimation of Scale Parameters in a Structural Time Series Model Chow, Hwee Kwan We develop scale estimators of a structural time series model which are robust towards additive outliers. This is done by extending the application of the $M$-estimation technique to the scale estimation problem in time series data. A Monte Carlo experiment is carried out to study the robust properties of the proposed estimators. The simulation results indicate that the proposed $M$-estimators clearly outperform the maximum likelihood estimators produced by the Kalman filter when the observations are contaminated by outliers. 1996-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/462 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics |
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SMU Libraries |
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Asia |
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Singapore Singapore |
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English |
| topic |
Econometrics |
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Econometrics Chow, Hwee Kwan M-Estimation of Scale Parameters in a Structural Time Series Model |
| description |
We develop scale estimators of a structural time series model which are robust towards additive outliers. This is done by extending the application of the $M$-estimation technique to the scale estimation problem in time series data. A Monte Carlo experiment is carried out to study the robust properties of the proposed estimators. The simulation results indicate that the proposed $M$-estimators clearly outperform the maximum likelihood estimators produced by the Kalman filter when the observations are contaminated by outliers. |
| format |
text |
| author |
Chow, Hwee Kwan |
| author_facet |
Chow, Hwee Kwan |
| author_sort |
Chow, Hwee Kwan |
| title |
M-Estimation of Scale Parameters in a Structural Time Series Model |
| title_short |
M-Estimation of Scale Parameters in a Structural Time Series Model |
| title_full |
M-Estimation of Scale Parameters in a Structural Time Series Model |
| title_fullStr |
M-Estimation of Scale Parameters in a Structural Time Series Model |
| title_full_unstemmed |
M-Estimation of Scale Parameters in a Structural Time Series Model |
| title_sort |
m-estimation of scale parameters in a structural time series model |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1996 |
| url |
https://ink.library.smu.edu.sg/soe_research/462 |
| _version_ |
1770569181684563968 |