Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations

Abstract

This paper deals with the estimation of seasonal long-memory time series models in the presence of ‘outliers’. It is long known that the presence of outliers can lead to undesirable effects on the statistical estimation methods, for example, substantially impacting the sample autocorrelations. Thus, the aim of this work is to propose a semiparametric robust estimator for the fractional parameters in the seasonal autoregressive fractionally integrated moving average (SARFIMA) model, through the use of a robust periodogram at both very low and seasonal frequencies. The model and some theories related to the estimation method are discussed. It is shown by simulations that the robust methodology behaves like the classical one to estimate the long-memory parameters if there are no outliers (no contamination). On the other hand, in the contaminated scenario (presence of outliers), the standard methodology leads to misleading results while the proposed method is unaffected. The methodology is applied to model and forecast sulfur dioxide (SO2) pollutant concentrations which have seasonal long-memory features and occasional large peak pollutant concentrations.