Journal
ANNALS OF STATISTICS
Volume 37, Issue 2, Pages 816-840Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/07-AOS570
Keywords
MM-estimates; outliers; time series
Categories
Funding
- ANPCYT, Argentina [PICT 21407]
- MEC [SEJ2004-03303]
- Universidad de Buenos Aires [X-094]
- CONICET, Argentina [PIP 5505]
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This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those based on a robust filter, but they have two important advantages: they are consistent and the asymptotic theory is tractable. We perform a Monte Carlo where we show that these estimates compare favorably with respect to standard M-estimates and to estimates based on a diagnostic procedure.
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