A robust estimation approach for fitting a PARMA model to real data
Queiroz Sarnaglia, Alessandro Jose ; Reisen, Valderio Anselmo ; Bondon, Pascal ; Lévy-Leduc, Céline
HAL, hal-01560258 / Harvested from HAL
This paper proposes an estimation approach of the Whittle estimator to fit periodic autoregressive moving average (PARMA) models when the process is contaminated with additive outliers and/or has heavy-tailed noise. It is derived by replacing the ordinary Fourier transform with the non-linear M-regression estimator in the harmonic regression equation that leads to the classical periodogram. A Monte Carlo experiment is conducted to study the finite sample size of the proposed estimator under the scenarios of contaminated and non-contaminated series. The proposed estimation method is applied to fit a PARMA model to the sulfur dioxide (SO2) daily average pollutant concentrations in the city of Vitória (ES), Brazil.
Publié le : 2016-06-26
Classification:  [INFO.INFO-TS]Computer Science [cs]/Signal and Image Processing,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]
@article{hal-01560258,
     author = {Queiroz Sarnaglia, Alessandro Jose and Reisen, Valderio Anselmo and Bondon, Pascal and L\'evy-Leduc, C\'eline},
     title = {A robust estimation approach for fitting a PARMA model to real data},
     journal = {HAL},
     volume = {2016},
     number = {0},
     year = {2016},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01560258}
}
Queiroz Sarnaglia, Alessandro Jose; Reisen, Valderio Anselmo; Bondon, Pascal; Lévy-Leduc, Céline. A robust estimation approach for fitting a PARMA model to real data. HAL, Tome 2016 (2016) no. 0, . http://gdmltest.u-ga.fr/item/hal-01560258/