Robust Two-Step Wavelet-Based Inference for Time Series Models

Stéphane Guerrier; Roberto Molinari; Maria-Pia Victoria-Feser; Haotian Xu

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arXiv · 2001.04214

Robust Two-Step Wavelet-Based Inference for Time Series Models

Stéphane Guerrier·Roberto Molinari·Maria-Pia Victoria-Feser·Haotian Xu

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Abstract

Complex time series models such as (the sum of) ARMA$(p,q)$ models with additional noise, random walks, rounding errors and/or drifts are increasingly used for data analysis in fields such as biology, ecology, engineering and economics where the length of the observed signals can be extremely large. Performing inference on and/or prediction from these models can be highly challenging for several reasons: (i) the data may contain outliers that can adversely affect the estimation procedure; (ii) the computational complexity can become prohibitive when models include more than just a few parameters and/or the time series are large; (iii) model building and/or selection adds another layer of (computational) complexity to the previous task; and (iv) solutions that address (i), (ii) and (iii) simultaneously do not exist in practice. For this reason, this paper aims at jointly addressing these challenges by proposing a general framework for robust two-step estimation based on a bounded influence M-estimator of the wavelet variance. In this perspective, we first develop the conditions for the joint asymptotic normality of the latter estimator thereby providing the necessary tools to perform (direct) inference for scale-based analysis of signals. Taking advantage of the model-independent weights of this first-step estimator that are computed only once, we then develop the asymptotic properties of two-step robust estimators using the framework of the Generalized Method of Wavelet Moments (GMWM), hence defining the Robust GMWM (RGMWM) that we then use for robust model estimation and inference in a computationally efficient manner even for large time series. Simulation studies illustrate the good finite sample performance of the RGMWM estimator and applied examples highlight the practical relevance of the proposed approach.

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BibTeX RIS

Stéphane Guerrier, Roberto Molinari, Maria-Pia Victoria-Feser, Haotian Xu. 2020-01-13. Robust Two-Step Wavelet-Based Inference for Time Series Models. https://arxiv.org/abs/2001.04214

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