Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection
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 smooth...
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todo:paper_01439782_v28_n2_p274_Bianco2023-10-03T14:59:30Z Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection Bianco, A. Boente, G. Asymptotic properties Cross-validation Filtering Partly linear autoregression Prediction Rate of convergence Robust estimation Smoothing techniques 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. © 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd. Fil:Bianco, A. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:Boente, G. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_01439782_v28_n2_p274_Bianco |
| institution |
Universidad de Buenos Aires |
| institution_str |
I-28 |
| repository_str |
R-134 |
| collection |
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) |
| topic |
Asymptotic properties Cross-validation Filtering Partly linear autoregression Prediction Rate of convergence Robust estimation Smoothing techniques |
| spellingShingle |
Asymptotic properties Cross-validation Filtering Partly linear autoregression Prediction Rate of convergence Robust estimation Smoothing techniques Bianco, A. Boente, G. Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection |
| topic_facet |
Asymptotic properties Cross-validation Filtering Partly linear autoregression Prediction Rate of convergence Robust estimation Smoothing techniques |
| description |
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. © 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd. |
| format |
JOUR |
| author |
Bianco, A. Boente, G. |
| author_facet |
Bianco, A. Boente, G. |
| author_sort |
Bianco, A. |
| title |
Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection |
| title_short |
Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection |
| title_full |
Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection |
| title_fullStr |
Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection |
| title_full_unstemmed |
Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection |
| title_sort |
robust estimators under semi-parametric partly linear autoregression: asymptotic behaviour and bandwidth selection |
| url |
http://hdl.handle.net/20.500.12110/paper_01439782_v28_n2_p274_Bianco |
| work_keys_str_mv |
AT biancoa robustestimatorsundersemiparametricpartlylinearautoregressionasymptoticbehaviourandbandwidthselection AT boenteg robustestimatorsundersemiparametricpartlylinearautoregressionasymptoticbehaviourandbandwidthselection |
| _version_ |
1807322340730601472 |