التفاصيل البيبلوغرافية
| العنوان: |
Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection. |
| المؤلفون: |
Bianco, Ana1, Boente, Graciela2 |
| المصدر: |
Journal of Time Series Analysis. Mar2007, Vol. 28 Issue 2, p274-306. 33p. 1 Chart, 10 Graphs. |
| مصطلحات موضوعية: |
*AUTOREGRESSION (Statistics), *BANDWIDTHS, *ASYMPTOTIC distribution, *REGRESSION analysis, *MONTE Carlo method |
| مستخلص: |
In this article, under a semi-parametric partly linear autoregression model, a family of robust estimators for the autoregression parameter and the autoregression function is studied. The proposed estimators are based on a three-step procedure, in which robust regression estimators and robust smoothing techniques are combined. Asymptotic results on the autoregression estimators are derived. Besides combining robust procedures with M-smoothers, predicted values for the series and detection residuals, which allow to detect anomalous data, are introduced. Robust cross-validation methods to select the smoothing parameter are presented as an alternative to the classical ones, which are sensitive to outlying observations. A Monte Carlo study is conducted to compare the performance of the proposed criteria. Finally, the asymptotic distribution of the autoregression parameter estimator is stated uniformly over the smoothing parameter. [ABSTRACT FROM AUTHOR] |
| قاعدة البيانات: |
Academic Search Index |
