arma_est_bip_m: arma_est_bip_m

In Mufabo/Rrobustsp: Robust Signal Processing

arma_est_bip_m

Description

The function arma_est_bip_m(x,p,q) comuptes the BIP M-estimation step for BIP MM estimates of the ARMA model parameters. It can also be used as a stand-alone M-estimator.

Usage

arma_est_bip_m(x, p, q, beta_hat_s, a_sc_final)

Arguments

x:	data (observations/measurements/signal)
p:	autoregressive order
q:	moving-average order
beta_hat_s:	BIP S-estimate
a_sc_final:	M scale estimate of residuals of BIP S-estimate

Value

ar_coeffs: vector of BIP-AR(p) MM-estimates

ma_coeffs: vector of BIP-MA(q) MM-estimates

Note

File location: dependentData_armaEstBipM.R

References

"Robust Statistics for Signal Processing" Zoubir, A.M. and Koivunen, V. and Ollila, E. and Muma, M. Cambridge University Press, 2018.

"Bounded Influence Propagation τ-Estimation: A New Robust Method for ARMA Model Estimation." Muma, M. and Zoubir, A.M. IEEE Transactions on Signal Processing, 65(7), 1712-1727, 2017.

Examples

library(signal)
library(zeallot)
library(pracma)

N <- 500
a <- rnorm(N)
p <- 1
q <- 0
x <- signal::filter(1, c(1, -0.8), a)

beta_s <- arma_est_bip_s(x, p, q, tolX = 1e-8)
beta <- c(beta_s$ar_coeffs, beta_s$ma_coeffs)

arma_est_bip_m(x, p, q, beta, beta_s$inno_scale)

Mufabo/Rrobustsp documentation built on June 11, 2022, 10:41 p.m.