A robust M-estimator for Gaussian ARMA time series based on the Whittle approximation

Abstract

In the frequency domain, the Whittle approach using the classical periodogram is traditionally used to estimate the parameters of a stationary time series. The M-periodogram has recently become an alternative tool for analyzing the dependence of time series. It is particularly useful for dealing with outliers and heavy-tailed noise. This paper proposes an alternative to the standard Whittle approach, the M-Whittle estimator, built from the M-periodogram. We show that the proposed method is a consistent estimator of the true parameters of an ARMA process. A finite sample investigation is carried out to assess the performance of the estimator in the scenarios of contaminated and uncontaminated time series. As expected, for the uncontaminated data, the M-Whittle estimator performs similarly to the classical Whittle approach. However, the superiority of the first method is clear in terms of root mean squared error when the series has additive outliers. Two applications are considered to illustrate the methodologies in real data contexts. Regardless of whether or not the data are contaminated by additive outliers, the results presented here strongly motivate using the M-Whittle estimator in practical problems.