A new robust estimation method for ARMA models

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

Volumn , Issue , 2009, Pages 3321-3324

  Chakhchoukh, Yacine ^a   Panciatici, Patrick ^a   Bondon, Pascal ^b   Mili, Lamine ^c  

^a RTE   (France)

^b CNRS   (France)

^c VIRGINIA POLYTECHNIC INSTITUTE AND STATE UNIVERSITY   (United States)

Author keywords

ARMA models; Missing values; Outliers; Robustness; Time series

Indexed keywords

ARMA MODEL; ARMA MODELS; GAUSSIAN MAXIMUM LIKELIHOOD; MISSING VALUES; OUTLIERS; ROBUST ESTIMATION METHOD; ROBUST FILTERS; ROBUST METHODS; ROBUSTNESS;

ACOUSTICS; AUTOCORRELATION; ELECTRIC LOAD FORECASTING; SIGNAL PROCESSING; TIME SERIES;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 70349198983     PISSN: 15206149     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICASSP.2009.4960335     Document Type: Conference Paper

References (8)

1. Ricardo A. Maronna, R. Douglas Martin, and Victor J. Yohai, Robust statistics, Wiley Series in Probability and Statistics. John Wiley & Sons Ltd., Chichester, 2006, Theory and methods.
2. Oscar H. Bustos and Víctor J. Yohai, "Robust estimates for ARMA models," J. Amer. Statist. Assoc., vol. 81, no. 393, pp. 155-168, 1986.
3. Milton Abramowitz and Irene A. Stegun, Eds., Handbook of mathematical functions with formulas, graphs, and mathematical tables, Dover Publications Inc., New York, 1992, Reprint of the 1972 edition.
4. R. Douglas Martin and V?́ctor J. Yohai, "Influence functionals for time series," Ann. Statist., vol. 14, no. 3, pp. 781-855, 1986, With discussion.
5. Richard H. Jones, "Maximum likelihood fitting of ARMA models to time series with missing observations," Technometrics, vol. 22, no. 3, pp. 389-395, 1980.
6. C. Johan Masreliez and R. Douglas Martin, "Robust Bayesian estimation for the linear model and robustifying the Kalman filter," IEEE Trans. Automatic Control, vol. AC-22, no. 3, pp. 361-371, 1977.
7. Marcelo C. Medeiros and Lacir J. Soares, "Robust statistical methods for electricity load forecasting," in RTE-VT workshop, PARIS, May 2006.
8. L. Mili, P. Panciatici, and Y. Chakhchoukh, "Robust short-term load forecasting using projection statistics," in RTE-VT workshop, PARIS, May 2006.