Weighted least squares: A robust method of estimation for sinusoidal model

Debasis Kundu

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 16, 5935-5953

Abstract: In this article, we consider the weighted least squares estimators (WLSEs) of the unknown parameters of a multiple sinusoidal model. Although, the least squares estimators (LSEs) are known to be the most efficient estimators in case of a multiple sinusoidal model, they are quite susceptible in presence of outliers. In presence of outliers, robust estimators like the least absolute deviation estimators (LADEs) or Huber’s M-estimators (HMEs) may be used. But implementation of the LADEs and HMEs are quite challenging in case of a sinusoidal model, the problem becomes more severe in case of multiple sinusoidal model. Moreover, to derive the theoretical properties of the robust estimators, one needs stronger assumptions on the error random variables than what are needed for the LSEs. The proposed WLSEs are used as robust estimators and they have the following two major advantages. First, they can be implemented very easily in case of multiple sinusoidal model, and their properties can be obtained under the same set of error assumptions as the LSEs. Extensive simulation results suggest that in presence of outliers, the WLSEs behave better than the LSEs, and at par with the LADEs and HEMs. It is observed that the performance of the WLSEs depend on the weight function, and we discuss how to choose a proper weight function for a given data set. We have analyzed one synthetic data set to show how the proposed methods can be implemented in practice.

Date: 2024
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DOI: 10.1080/03610926.2023.2238362

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