Robust estimation for Binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies

Yuriy Kharin and Valeriy Voloshko

Journal of Multivariate Analysis, 2021, vol. 185, issue C

Abstract: A topical problem of robust statistical estimation of parameters for binomial conditionally nonlinear autoregressive (BiCNAR) time series under innovation outliers is considered. This problem is solved by means of s-order Markov properties for observed time series and probabilistic properties of multivariate conditional frequencies of the future state under its s-prehistory. The new robust statistical estimator ζˆ called frequencies-based estimator (FBE) is constructed for the BiCNAR parameters under innovation outliers with arbitrary discrete probability distribution having some fixed known expectation. Under mild regularity conditions the constructed FBE is shown to have the robustness properties: consistency and asymptotic normality with obtained asymptotic covariance matrix. FBE also has computational advantages: an explicit form and a fast recursive re-estimation algorithm for extension of the model. Asymptotic risk functional and its minimum are evaluated using Fisher information matrix for the considered model. Sensitivity analysis of the statistical estimator ζ̃ for the BiCNAR parameters, that is constructed for the hypothetical model without outliers, is carried out for the situation with innovation outliers: ζ̃ is shown to be inconsistent in this situation, its bias and the instability coefficient are evaluated and analyzed. The robust estimator ζˆ has a free parameter — weight matrix H. The optimal weight matrix H∗ is found by minimization of the asymptotic risk w.r.t. H. Statistical estimator for H∗ based on the observed time series is constructed. Results of multiple computer experiments on simulated and real data illustrate the theory.

Keywords: Discrete-valued time series; Innovation outliers; Parameter estimation; Robustness; Multivariate conditional frequencies; Sensitivity analysis (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jmva.2021.104777

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