A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models
Marczak MartynaProietti Tommaso Grassi Stefano
CEIS Research Paper
This article presents a robust augmented Kalman filter that extends the data– cleaning filter (Masreliez and Martin, 1977) to the general state space model featuring nonstationary and regression effects. The robust filter shrinks the observations towards their one–step–ahead prediction based on the past, by bounding the effect of the information carried by a new observation according to an influence function. When maximum likelihood estimation is carried out on the replacement data, an M–type estimator is obtained. We investigate the performance of the robust AKF in two applications using as a modeling framework the basic structural time series model, a popular unobserved components model in the analysis of seasonal time series. First, a Monte Carlo experiment is conducted in order to evaluate the comparative accuracy of the proposed method for estimating the variance parameters. Second, the method is applied in a forecasting context to a large set of European trade statistics series.
Keywords: robust filtering, augmented Kalman filter, structural time series model, additive outlier, innovation outlier
JEL codes: C32, C53, C63
Date: Thursday, March 31, 2016
Revision Date: Thursday, March 31, 2016