Kitromilidou, S. and Fokianos, K. (2016) Robust estimation methods for a class of log-linear count time series models. Journal of Statistical Computation and Simulation, 86 (4). pp. 740-755. ISSN 0094-9655
Full text not available from this repository.Abstract
We study robust estimation of a log-linear Poisson model for count time series analysis. More specifically, we study robust versions of maximum likelihood estimators (MLEs) under three different forms of interventions: additive outliers (AOs), transient shifts (TSs) and level shifts (LSs). We estimate the parameters using the MLE, the conditionally unbiased bounded-influence estimator and the Mallows quasi-likelihood estimator and compare all three estimators in terms of their mean-square error, bias and mean absolute error. Our empirical results illustrate that under a LS or a TS there are no significant differences among the three estimators and the most interesting results are obtained in the presence of AOs. The results are complemented by a real data example.