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Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes

Brazilian Review of Econometrics

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Title Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes
On Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes
 
Creator Fajardo, Fabio Alexander; UFMG - UFES
 
Subject robust periodogram; outliers; robustness.
C13, C15, C22.
periodograma; outliers; robustez.
C13; C15; C22.
 
Description This paper is dedicated to estimation of the spectral density of stationary linear processes in the presence of additive outliers. We suggest the use of robust periodogram proposed by Fajardo et. al. (2009) (LPR) with different smoothing windows. Empirical results showed the robustness of the estimator under additive outliers. A real data application is presented with IGP-DI series.
Este artigo dedica-se à estimação da densidade espectral de processos lineares estacionários na presença de outliers aditivos. Sugere-se a utilização do periodograma robusto proposto por Fajardo et. al. (2009) (LPR) com diferentes janelas de suavização. Resultados empíricosevidenciam a robustez do estimador na presença de outliers. Uma aplicação do estimador é apresentada na estimação do parâmetro de memória na série IGP-DI.
 
Publisher Sociedade Brasileira de Econometria
 
Contributor CAPES
CAPES
 
Date 2011-03-04
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2767
10.12660/bre.v31n12011.2767
 
Source Brazilian Review of Econometrics; Vol 31, No 1 (2011); 69-96
Brazilian Review of Econometrics; Vol 31, No 1 (2011); 69-96
1980-2447
 
Language eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2767/2229