Robust time series models with trend and seasonal components
Type
Conference Object
Change log
Authors
Caivano, M
Harvey, A
Luati, A
Abstract
We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what amounts to a soft form of trimming in the case of t and a soft form of Winsorizing in the case of EGB2. We show how a model with trend and seasonal components can be used as the basis for a seasonal adjustment procedure. The methods are illustrated with US and Spanish data.
Description
Keywords
Fat tails, EGB2, Score, Robustness, Student's t, Trimming, Winsorizing
Journal Title
SERIEs
Conference Name
Journal ISSN
1869-4187
1869-4195
1869-4195
Volume Title
Publisher
Springer Science and Business Media LLC