On a partly linear autoregressive model with moving average errors
In this paper, we generalise the partly linear autoregression model considered in the literature by including moving average errors when we want to allow a large dependence to the past observations. The strong ergodicity of the process is derived. A consistent procedure to estimate the parametric an...
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| Formato: | Capítulo de libro |
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2010
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| Acceso en línea: | Registro en Scopus DOI Handle Registro en la Biblioteca Digital |
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| LEADER | 06904caa a22006737a 4500 | ||
|---|---|---|---|
| 001 | PAPER-7719 | ||
| 003 | AR-BaUEN | ||
| 005 | 20230518203729.0 | ||
| 008 | 190411s2010 xx ||||fo|||| 00| 0 eng|d | ||
| 024 | 7 | |2 scopus |a 2-s2.0-77954248813 | |
| 040 | |a Scopus |b spa |c AR-BaUEN |d AR-BaUEN | ||
| 100 | 1 | |a Bianco, A. | |
| 245 | 1 | 3 | |a On a partly linear autoregressive model with moving average errors |
| 260 | |c 2010 | ||
| 270 | 1 | 0 | |m Boente, G.; Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires and CONICET, Ciudad Universitaria, Pabellón 2, Buenos Aires, C1428EHA, Argentina; email: gboente@dm.uba.ar |
| 506 | |2 openaire |e Política editorial | ||
| 504 | |a Anderson, T.W., (1994) The Statistical Analysis of Time Series, , NewYork: John Wiley and Sons | ||
| 504 | |a Ango Nze, P., Critères d'Ergodicité Géométrique ouArithmétique de Modèles linéaires Perturbés à Représentation Markovienne (1998) Comptes Rendus Del'Academic Des Sciences, Series I (Paris), 326, pp. 371-376 | ||
| 504 | |a Boente, G., Fraiman, R., Ergodicity, Geometric Ergodicity and Mixing Conditions for NonparametricARMA Processes (2002) Bulletin of The Brazilian Mathematical Society, 33, pp. 13-23 | ||
| 504 | |a Bosq, D., (1996) Non parametric Statistics For Stochastic Processes: Estimation and Prediction, 110. , Lectures Notes in Statistics, Berlin: Springer-Verlag | ||
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| 504 | |a Durbin, J., Efficient Estimation of Parameters in Moving-Average Models (1959) Biometrika, 46, pp. 306-316 | ||
| 504 | |a Gao, J., Semiparametric Regression Smoothing of Nonlinear Time Series (1998) Scandinavian Journal of Statistics, 25, pp. 521-539 | ||
| 504 | |a Gao, J., (2007) Non linear Time Series: Semiparametric and Non parametric Methods, , London: Chapman & Hall/CRC | ||
| 504 | |a Gao, J., Yee, T., Adaptive Estimation in Partly Linear Autoregressive Models (2000) The Canadian Journal of Statistics, 28, pp. 571-586 | ||
| 504 | |a Györfi, L., Härdle, W., Sarda, P., Vieu, P., (1989) Nonparametric Curve Estimation FromTime Series, 60. , Lecture Notes in Statistics, Springer-Verlag | ||
| 504 | |a Hall, P., Lahiri, S.N., Truong, Y.K., On Bandwidth Choice for Density Estimation With Dependent Data (1995) Annals of Statistics, 23, pp. 2241-2263 | ||
| 504 | |a Härdle, W., Vieu, P., Kernel Regression Smoothing of Time Series (1992) Journal of Time Series Analysis, 13, pp. 209-232 | ||
| 504 | |a Härdle, W., Liang, H., Gao, J., (2000) Partially Linear Models, , Heidelberg: Physica-Verlag | ||
| 504 | |a Hart, J.D., Automated Kernel Smoothing of Dependent Data by Using Time Series Cross-validation (1994) Journal of The Royal Statistical Society, Series B, 56, pp. 529-542 | ||
| 504 | |a Hart, J.D., SomeAutomated Methods of Smoothing Time-Dependent Data (1996) Journal of Nonparametric Statistics, 6, pp. 115-142 | ||
| 504 | |a Hart, J.D., Wehrly, T.E., Kernel Regression Estimation Using Repeated Measurements Data (1986) Journal of American Statistical Association, 81, pp. 1080-1088 | ||
| 504 | |a Hart, J.D., Andvieu, P., Data-driven Bandwidth Choice for Density Estimation Based on Dependent Data (1990) Annals of Statistics, 18, pp. 873-890 | ||
| 504 | |a Masry, E., Tjøstheim, D., Nonparametric Estimation and Identification of Nonlinear ARCH Time Series (1995) Econometric Theory, 11, pp. 258-289 | ||
| 504 | |a Mokkadem, A., Sur un Modèle Autorégressif Non linéaire, Ergodicité et Ergodicité Géométrique (1987) Journal of Time Series Analysis, 2, pp. 195-204 | ||
| 504 | |a Nummelin, E., Tuominen, P., Geometric Ergodicity of Harris Recurrent Markov Chains WithApplications to Renewal Theory (1982) Stochastics Processes and Their Application, 2, pp. 187-202 | ||
| 504 | |a Robinson, P., Root-n-Consistent Semiparametric Regression (1988) Econometrica, 56, pp. 931-954 | ||
| 504 | |a Rosenblatt, M., (1971) Markov Processes: Structure and Asymptotic Behaviour, , Berlin: Springer-Verlag | ||
| 504 | |a Tweedie, R.L., Sufficient Conditions for Ergodicity and Recurrence of Markov Chains on a General State Space (1975) Stochastics Processes and Their Application, 3, pp. 385-403 | ||
| 504 | |a Tweedie, R.L., Criteria for Classifying General Markov Chains (1976) Advances InApplied Probability, 8, pp. 737-771 | ||
| 520 | 3 | |a In this paper, we generalise the partly linear autoregression model considered in the literature by including moving average errors when we want to allow a large dependence to the past observations. The strong ergodicity of the process is derived. A consistent procedure to estimate the parametric and nonparametric components is provided together with a test statistic that allows to check the presence of a moving average component in the model. Also, a Monte Carlo study is carried out to check the performance of the given proposals. © American Statistical Association and Taylor & Francis 2010. |l eng | |
| 536 | |a Detalles de la financiación: Universidad de Buenos Aires, 21407, 821, PID 5505, 112-200801-00216 | ||
| 536 | |a Detalles de la financiación: The authors would like to thank an anonymous referee for his valuable comments and suggestions that lead to improve the paper. This research was partially supported by Grants X018 from the Universidad of Buenos Aires, PID 5505 and 112-200801-00216 from conicet and pict 21407 and 821 from anpcyt, Argentina. | ||
| 593 | |a Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires and CONICET, Ciudad Universitaria, Pabellón 2, Buenos Aires, C1428EHA, Argentina | ||
| 690 | 1 | 0 | |a ERGODICITY |
| 690 | 1 | 0 | |a FISHER-CONSISTENCY |
| 690 | 1 | 0 | |a MOVING AVERAGE ERRORS |
| 690 | 1 | 0 | |a PARTLY LINEAR AUTOREGRESSION |
| 690 | 1 | 0 | |a SMOOTHING TECHNIQUES |
| 700 | 1 | |a Boente, G. | |
| 773 | 0 | |d 2010 |g v. 22 |h pp. 797-820 |k n. 6 |p J. Nonparametric Stat. |x 10485252 |w (AR-BaUEN)CENRE-5720 |t Journal of Nonparametric Statistics | |
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| 856 | 4 | 0 | |u https://doi.org/10.1080/10485250903469744 |y DOI |
| 856 | 4 | 0 | |u https://hdl.handle.net/20.500.12110/paper_10485252_v22_n6_p797_Bianco |y Handle |
| 856 | 4 | 0 | |u https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10485252_v22_n6_p797_Bianco |y Registro en la Biblioteca Digital |
| 961 | |a paper_10485252_v22_n6_p797_Bianco |b paper |c PE | ||
| 962 | |a info:eu-repo/semantics/article |a info:ar-repo/semantics/artículo |b info:eu-repo/semantics/publishedVersion | ||
| 999 | |c 68672 | ||