Robust Two-Step Wavelet-Based Inference for Time Series Models
针对含异常值的大规模时间序列，提出基于小波方差的稳健两步估计框架，解决推断、预测和模型选择的计算难题，并通过模拟和实例验证其有效性。
) models with additional stochastic processes are increasingly used for data analysis in biology, ecology, engineering, and economics. Inference on and/or prediction from these models can be highly challenging: (i) the data may contain outliers that can adversely affect the estimation procedure; (ii) the computational complexity can become prohibitive when the time series are extremely large; (iii) model selection adds another layer of (computational) complexity; and (iv) solutions that address (i), (ii), and (iii) simultaneously do not exist in practice. This paper aims at jointly addressing these challenges by proposing a general framework for robust two-step estimation based on a bounded influence M-estimator of the wavelet variance. We first develop the conditions for the joint asymptotic normality of the latter estimator thereby providing the necessary tools to perform (direct) inference for scale-based analysis of signals. Taking advantage of the model-independent weights of this first-step estimator, we then develop the asymptotic properties of two-step robust estimators using the framework of the generalized method of wavelet moments (GMWM). Simulation studies illustrate the good finite sample performance of the robust GMWM estimator and applied examples highlight the practical relevance of the proposed approach.