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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....
In this paper, the stochastic characteristics of the electric consumption in France are analyzed. It is shown that the load time series exhibit lasting abrupt changes in the stochastic pattern, termed breaks, which need to be accounted for during the modeling process. Thus, a new robust diagnostic approach for which the identification of the breaks is carried out via a robust autocorrelation function...
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