A robust algorithm for parameter estimation in smooth transition autoregressive models

被引：5

作者：

Bekiros, Stelios D. ^{[1
]}

机构：

[1] European Univ Inst, I-50014 Fiesole, FI, Italy

来源：

ECONOMICS LETTERS | 2009年 / 103卷 / 01期

关键词：

STAR models; Gradient descent; Singular value decomposition; Heteroscedastic noise;

D O I：

10.1016/j.econlet.2009.01.020

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Finding a precise estimate for the smoothness parameter of LSTAR models is notoriously difficult. This paper introduces a robust estimation method for the transition and autoregressive parameters of STAR models, comprising gradient descent and singular value decomposition to account for heteroscedastic noise. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：36 / 38

页数：3

共 50 条

[1] Robust tests against smooth transition autoregressive models
Beg, ABMRA
Silvapulle, MJ
Silvapulle, P
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2002, 72 (02) : 167 - 178
[2] SPECIFICATION, ESTIMATION, AND EVALUATION OF SMOOTH TRANSITION AUTOREGRESSIVE MODELS
TERASVIRTA, T
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1994, 89 (425) : 208 - 218
[3] Maximum likelihood parameter estimation algorithm for controlled autoregressive autoregressive models
Wang, Wei
Li, Junhong
Ding, Ruifeng
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2011, 88 (16) : 3458 - 3467
[4] Robust smooth transition threshold autoregressive models for electricity prices
Grossi, Luigi
Nan, Fany
2015 12TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM), 2015,
[5] Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models
Buncic, Daniel
OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2019, 81 (03) : 667 - 685
[6] Tractable Bayesian estimation of smooth transition vector autoregressive models
Bruns, Martin
Piffer, Michele
ECONOMETRICS JOURNAL, 2024,
[7] On parameter estimation of threshold autoregressive models
Ngai Hang Chan
Yury A. Kutoyants
Statistical Inference for Stochastic Processes, 2012, 15 (1) : 81 - 104
[8] Robust estimation for vector autoregressive models
Muler, Nora
Yohai, Victor J.
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2013, 65 : 68 - 79
[9] An algorithm for robust fitting of autoregressive models
Politis, Dimitris N.
ECONOMICS LETTERS, 2009, 102 (02) : 128 - 131
[10] The Bi-parameter Smooth Transition Autoregressive model
Siliverstovs, Boriss
ECONOMICS BULLETIN, 2005, 3

← 1 2 3 4 5 →