M-Estimation of Scale Parameters in a Structural Time Series Model
Publication Type
Journal Article
Publication Date
1996
Abstract
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.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Applied Statistical Science
Volume
3
Issue
1
First Page
93
Last Page
105
ISSN
1067-5817
Citation
Chow, Hwee Kwan.
M-Estimation of Scale Parameters in a Structural Time Series Model. (1996). Journal of Applied Statistical Science. 3, (1), 93-105.
Available at: https://ink.library.smu.edu.sg/soe_research/462