M-추정에 기반을 둔 로버스트 스펙트럴 추정량: 주택 가격 지수에 대한 응용 = Robust spectral estimator from M-estimation point of view: application to the Korean housing price index

다국어 초록 (Multilingual 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.

참고문헌 (Reference)

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