The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Robust spectral estimator from M-estimation point of view: application to the Korean housing price index

M-추정에 기반을 둔 로버스트 스펙트럴 추정량: 주택 가격 지수에 대한 응용

  • Pak, Ro Jin (Dankook University, Department of Applied Statistics)
  • 박노진 (단국대학교 응용통계학과)
  • Received : 2016.02.12
  • Accepted : 2016.04.11
  • Published : 2016.04.30
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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.

주파수 영역에서 시계열 자료를 분석함에 있어 스펙트럴 추정량은 매우 유용한 도구이다. 기존의 스펙트럴 추정량은 이상치에 영향을 받을 수밖에 없는 구조로 되어있어서 M-추정법을 활용하여 로버스트 스펙트럴 추정량이 제안되었다. M-추정을 위해서는 조율모수를 적절하게 선택해 주어야 하는데 Pak (2001)이 제안한 방법을 사용할 때의 효과를 연구하였다. 모의실험과 주택가격지수에의 적용을 통하여 효과가 있음을 확인하였다.

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References

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