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http://dx.doi.org/10.5351/KJAS.2016.29.3.463

Robust spectral estimator from M-estimation point of view: application to the Korean housing price index  

Pak, Ro Jin (Dankook University, Department of Applied Statistics)
Publication Information
The Korean Journal of Applied Statistics / v.29, no.3, 2016 , pp. 463-470 More about this Journal
Abstract
In analysing a time series on the frequency domain, the spectral estimator (or periodogram) is a very useful statistic to identify the periods of a time series. However, the spectral estimator is very sensitive in nature to outliers, so that the spectral estimator in terms of M-estimation has been studied by some researchers. Pak (2001) proposed an empirical method to choose a tuning parameter for the Huber's M-estimating function. In this article, we try to implement Pak's estimation proposal in the spectral estimator. We use the Korean housing price index as an example data set for comparing various M-estimating results.
Keywords
housing price index; m-estimation; periodogram; spectral estimator; tuning parameter;
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