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Empirical study of robust estimation methods for PAR models with application to the air quality area

Abstract : This paper compares three estimators for periodic autoregressive (PAR) models. The first is the classical periodic Yule-Walker estimator (YWE). The second is a robust version of YWE (RYWE) which uses the robust autocovariance function in the periodic Yule-Walker equations, and the third is the robust least squares estimator (RLSE) based on iterative least squares with robust versions of the original time series. The daily mean particulate matter concentration (PM10) data is used to illustrate the methodologies in a real application, that is, in the Air Quality area.
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https://hal-centralesupelec.archives-ouvertes.fr/hal-01886198
Contributor : Pascal Bondon <>
Submitted on : Tuesday, October 2, 2018 - 4:23:22 PM
Last modification on : Tuesday, June 30, 2020 - 1:46:40 PM

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Carlo Correa Solci, Valdério A. Reisen, Alessandro Jose Queiroz Sarnaglia, Pascal Bondon. Empirical study of robust estimation methods for PAR models with application to the air quality area. Communications in Statistics - Theory and Methods, 2020, 49 (1), pp.152-168. ⟨10.1080/03610926.2018.1533970⟩. ⟨hal-01886198⟩

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