A robust estimation approach for fitting a PARMA model to real data

Author(s):  
A. J. Q. Sarnaglia ◽  
V. A. Reisen ◽  
P. Bondou ◽  
C. Levy-Leduc
Keyword(s):  
METRON ◽  
2021 ◽  
Author(s):  
Giovanni Saraceno ◽  
Claudio Agostinelli ◽  
Luca Greco

AbstractA weighted likelihood technique for robust estimation of multivariate Wrapped distributions of data points scattered on a $$p-$$ p - dimensional torus is proposed. The occurrence of outliers in the sample at hand can badly compromise inference for standard techniques such as maximum likelihood method. Therefore, there is the need to handle such model inadequacies in the fitting process by a robust technique and an effective downweighting of observations not following the assumed model. Furthermore, the employ of a robust method could help in situations of hidden and unexpected substructures in the data. Here, it is suggested to build a set of data-dependent weights based on the Pearson residuals and solve the corresponding weighted likelihood estimating equations. In particular, robust estimation is carried out by using a Classification EM algorithm whose M-step is enhanced by the computation of weights based on current parameters’ values. The finite sample behavior of the proposed method has been investigated by a Monte Carlo numerical study and real data examples.


2019 ◽  
Vol 64 (6) ◽  
pp. 2412-2425 ◽  
Author(s):  
Valentina Ciccone ◽  
Augusto Ferrante ◽  
Mattia Zorzi

Author(s):  
Hector M. Romero Ugalde ◽  
Christophe Corbier

Neural networks are powerful tools for black box system identification. However, their main drawback is the large number of parameters usually required to deal with complex systems. Classically, the model's parameters minimize a L2-norm-based criterion. However, when using strongly corrupted data, namely, outliers, the L2-norm-based estimation algorithms become ineffective. In order to deal with outliers and the model's complexity, the main contribution of this paper is to propose a robust system identification methodology providing neuromodels with a convenient balance between simplicity and accuracy. The estimation robustness is ensured by means of the Huberian function. Simplicity and accuracy are achieved by a dedicated neural network design based on a recurrent three-layer architecture and an efficient model order reduction procedure proposed in a previous work (Romero-Ugalde et al., 2013, “Neural Network Design and Model Reduction Approach for Black Box Nonlinear System Identification With Reduced Number of Parameters,” Neurocomputing, 101, pp. 170–180). Validation is done using real data, measured on a piezoelectric actuator, containing strong natural outliers in the output data due to its microdisplacements. Comparisons with others black box system identification methods, including a previous work (Corbier and Carmona, 2015, “Extension of the Tuning Constant in the Huber's Function for Robust Modeling of Piezoelectric Systems,” Int. J. Adapt. Control Signal Process., 29(8), pp. 1008–1023) where a pseudolinear model was used to identify the same piezoelectric system, show the relevance of the proposed robust estimation method leading balanced simplicity-accuracy neuromodels.


2020 ◽  
Vol 34 (04) ◽  
pp. 4004-4011
Author(s):  
Tieliang Gong ◽  
Quanhan Xi ◽  
Chen Xu

Subsampling is a widely used and effective method to deal with the challenges brought by big data. Most subsampling procedures are designed based on the importance sampling framework, where samples with high importance measures are given corresponding sampling probabilities. However, in the highly noisy case, these samples may cause an unstable estimator which could lead to a misleading result. To tackle this issue, we propose a gradient-based Markov subsampling (GMS) algorithm to achieve robust estimation. The core idea is to construct a subset which allows us to conservatively correct a crude initial estimate towards the true signal. Specifically, GMS selects samples with small gradients via a probabilistic procedure, constructing a subset that is likely to exclude noisy samples and provide a safe improvement over the initial estimate. We show that the GMS estimator is statistically consistent at a rate which matches the optimal in the minimax sense. The promising performance of GMS is supported by simulation studies and real data examples.


Entropy ◽  
2021 ◽  
Vol 23 (3) ◽  
pp. 367
Author(s):  
Byungsoo Kim ◽  
Sangyeol Lee ◽  
Dongwon Kim

In the integer-valued generalized autoregressive conditional heteroscedastic (INGARCH) models, parameter estimation is conventionally based on the conditional maximum likelihood estimator (CMLE). However, because the CMLE is sensitive to outliers, we consider a robust estimation method for bivariate Poisson INGARCH models while using the minimum density power divergence estimator. We demonstrate the proposed estimator is consistent and asymptotically normal under certain regularity conditions. Monte Carlo simulations are conducted to evaluate the performance of the estimator in the presence of outliers. Finally, a real data analysis using monthly count series of crimes in New South Wales and an artificial data example are provided as an illustration.


METRON ◽  
2021 ◽  
Author(s):  
Hanan Elsaied ◽  
Roland Fried

AbstractWe discuss robust estimation of INARCH models for count time series, where each observation conditionally on its past follows a negative binomial distribution with a constant scale parameter, and the conditional mean depends linearly on previous observations. We develop several robust estimators, some of them being computationally fast modifications of methods of moments, and some rather efficient modifications of conditional maximum likelihood. These estimators are compared to related recent proposals using simulations. The usefulness of the proposed methods is illustrated by a real data example.


2021 ◽  
Vol 32 (1) ◽  
Author(s):  
Umberto Amato ◽  
Anestis Antoniadis ◽  
Italia De Feis ◽  
Irène Gijbels

AbstractThis article studies M-type estimators for fitting robust additive models in the presence of anomalous data. The components in the additive model are allowed to have different degrees of smoothness. We introduce a new class of wavelet-based robust M-type estimators for performing simultaneous additive component estimation and variable selection in such inhomogeneous additive models. Each additive component is approximated by a truncated series expansion of wavelet bases, making it feasible to apply the method to nonequispaced data and sample sizes that are not necessarily a power of 2. Sparsity of the additive components together with sparsity of the wavelet coefficients within each component (group), results into a bi-level group variable selection problem. In this framework, we discuss robust estimation and variable selection. A two-stage computational algorithm, consisting of a fast accelerated proximal gradient algorithm of coordinate descend type, and thresholding, is proposed. When using nonconvex redescending loss functions, and appropriate nonconvex penalty functions at the group level, we establish optimal convergence rates of the estimates. We prove variable selection consistency under a weak compatibility condition for sparse additive models. The theoretical results are complemented with some simulations and real data analysis, as well as a comparison to other existing methods.


2019 ◽  
Vol 35 (1) ◽  
pp. 126-136 ◽  
Author(s):  
Tour Liu ◽  
Tian Lan ◽  
Tao Xin

Abstract. Random response is a very common aberrant response behavior in personality tests and may negatively affect the reliability, validity, or other analytical aspects of psychological assessment. Typically, researchers use a single person-fit index to identify random responses. This study recommends a three-step person-fit analysis procedure. Unlike the typical single person-fit methods, the three-step procedure identifies both global misfit and local misfit individuals using different person-fit indices. This procedure was able to identify more local misfit individuals than single-index method, and a graphical method was used to visualize those particular items in which random response behaviors appear. This method may be useful to researchers in that it will provide them with more information about response behaviors, allowing better evaluation of scale administration and development of more plausible explanations. Real data were used in this study instead of simulation data. In order to create real random responses, an experimental test administration was designed. Four different random response samples were produced using this experimental system.


Author(s):  
Mietek A. Brdys ◽  
Kazimierz Duzinkiewicz ◽  
Michal Grochowski ◽  
Tomasz Rutkowski

TAPPI Journal ◽  
2019 ◽  
Vol 18 (10) ◽  
pp. 607-618
Author(s):  
JÉSSICA MOREIRA ◽  
BRUNO LACERDA DE OLIVEIRA CAMPOS ◽  
ESLY FERREIRA DA COSTA JUNIOR ◽  
ANDRÉA OLIVEIRA SOUZA DA COSTA

The multiple effect evaporator (MEE) is an energy intensive step in the kraft pulping process. The exergetic analysis can be useful for locating irreversibilities in the process and pointing out which equipment is less efficient, and it could also be the object of optimization studies. In the present work, each evaporator of a real kraft system has been individually described using mass balance and thermodynamics principles (the first and the second laws). Real data from a kraft MEE were collected from a Brazilian plant and were used for the estimation of heat transfer coefficients in a nonlinear optimization problem, as well as for the validation of the model. An exergetic analysis was made for each effect individually, which resulted in effects 1A and 1B being the least efficient, and therefore having the greatest potential for improvement. A sensibility analysis was also performed, showing that steam temperature and liquor input flow rate are sensible parameters.


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