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ResearchPaper
2015

A data–cleaning augmented Kalman filter for robust estimation of state space models

Abstract (English)

This article presents a robust augmented Kalman filter that extends the data– cleaning filter (Masreliez and Martin, 1977) to the general state space model featuring nonstationary and regression effects. The robust filter shrinks the observations towards their one–step–ahead prediction based on the past, by bounding the effect of the information carried by a new observation according to an influence function. When maximum likelihood estimation is carried out on the replacement data, an M–type estimator is obtained. We investigate the performance of the robust AKF in two applications using as a modeling framework the basic structural time series model, a popular unobserved components model in the analysis of seasonal time series. First, a Monte Carlo experiment is conducted in order to evaluate the com- parative accuracy of the proposed method for estimating the variance parameters. Second, the method is applied in a forecasting context to a large set of European trade statistics series.

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Publication series

Hohenheim discussion papers in business, economics and social sciences; 2015,13

Published in

Faculty
Faculty of Business, Economics and Social Sciences
Institute
Institute of Economics

Examination date

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Edition / version

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ISBN

Language
English

Publisher

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Classification (DDC)
300 Social sciences, sociology, and anthropology

Original object

Sustainable Development Goals

BibTeX

@techreport{Marczak2015, url = {https://hohpublica.uni-hohenheim.de/handle/123456789/5965}, author = {Marczak, Martyna and Proietti, Tommaso and Grassi, Stefano et al.}, title = {A data–cleaning augmented Kalman filter for robust estimation of state space models}, year = {2015}, school = {Universität Hohenheim}, series = {Hohenheim discussion papers in business, economics and social sciences}, }
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