Robust estimation of SARIMA models: Application to short-term load forecasting

@article{Chakhchoukh2009RobustEO,
  title={Robust estimation of SARIMA models: Application to short-term load forecasting},
  author={Yacine Chakhchoukh and Patrick Panciatici and Pascal Bondon},
  journal={2009 IEEE/SP 15th Workshop on Statistical Signal Processing},
  year={2009},
  pages={77-80}
}
This paper presents a new robust method to estimate the parameters of a SARIMA model. This method uses robust autocorrelations estimates based on sample medians coupled with a robust filter cleaner which rejects deviant observations. Our procedure is compared with other robust methods via evaluation of the different robustness measures such as maximum bias, breakdown point and influence function. The asymptotic properties of our method (strong consistency and central limit theorem) are… CONTINUE READING

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