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

[31] Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm
Guney, Yesim
Arslan, Olcay
Yavuz, Fulya Gokalp
JOURNAL OF MULTIVARIATE ANALYSIS, 2022, 191
[32] Robust estimation using multivariate t innovations for vector autoregressive models via ECM algorithm
Nduka, Uchenna C.
Ugah, Tobias E.
Izunobi, Chinyeaka H.
JOURNAL OF APPLIED STATISTICS, 2021, 48 (04) : 693 - 711
[33] The fractional integrated bi- parameter smooth transition autoregressive model
El Montasser, Ghassen
Ajmi, Ahdi Noomen
ECONOMICS BULLETIN, 2012, 32 (01): : 755 - 765
[34] State-Dependent Threshold Smooth Transition Autoregressive Models
Dueker, Michael J.
Psaradakis, Zacharias
Sola, Martin
Spagnolo, Fabio
OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2013, 75 (06) : 835 - 854
[35] Semiparametric estimation and testing of smooth coefficient spatial autoregressive models
Malikov, Emir
Sun, Yiguo
JOURNAL OF ECONOMETRICS, 2017, 199 (01) : 12 - 34
[36] LMS algorithm for unbiased parameter estimation of noisy autoregressive signals
So, HC
ELECTRONICS LETTERS, 2001, 37 (08) : 536 - 537
[37] Estimation of the memory parameter by fitting fractionally differenced autoregressive models
Bhansali, R. J.
Giraitis, L.
Kokoszka, P. S.
JOURNAL OF MULTIVARIATE ANALYSIS, 2006, 97 (10) : 2101 - 2130
[38] An on-line estimation algorithm for periodic autoregressive models
Bentarzi, Mohamed
Aknouche, Abdelhakim
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2006, 35 (08) : 1495 - 1512
[39] Robust algorithm for parameter estimation in well tests
Bonalde, I.
Ramones, M.
SPE Advanced Technology Series, 1994, 2 (01): : 119 - 125
[40] Bayesian estimation and model selection of a multivariate smooth transition autoregressive model
Livingston, Glen, Jr.
Nur, Darfiana
ENVIRONMETRICS, 2020, 31 (06)

← 1 2 3 4 5 →