Robust estimation methods for a class of log-linear count time series models
Ημερομηνία
2016Source
Journal of Statistical Computation and SimulationVolume
86Issue
4Pages
740-755Google Scholar check
Keyword(s):
Metadata
Εμφάνιση πλήρους εγγραφήςΕπιτομή
We study robust estimation of a log-linear Poisson model for count time series analysis. More specifically, we study robust versions of maximum likelihood estimators (MLEs) under three different forms of interventions: additive outliers (AOs), transient shifts (TSs) and level shifts (LSs). We estimate the parameters using the MLE, the conditionally unbiased bounded-influence estimator and the Mallows quasi-likelihood estimator and compare all three estimators in terms of their mean-square error, bias and mean absolute error. Our empirical results illustrate that under a LS or a TS there are no significant differences among the three estimators and the most interesting results are obtained in the presence of AOs. The results are complemented by a real data example. © 2015 Taylor & Francis.