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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paper:paper_01439782_v28_n2_p274_Bianco2023-06-08T15:11:57Z Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection Bianco, Ana María Boente, Graciela Lina 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. 2007 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01439782_v28_n2_p274_Bianco 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, Ana María Boente, Graciela Lina 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. |
| author |
Bianco, Ana María Boente, Graciela Lina |
| author_facet |
Bianco, Ana María Boente, Graciela Lina |
| author_sort |
Bianco, Ana María |
| 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 |
| publishDate |
2007 |
| url |
https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01439782_v28_n2_p274_Bianco http://hdl.handle.net/20.500.12110/paper_01439782_v28_n2_p274_Bianco |
| work_keys_str_mv |
AT biancoanamaria robustestimatorsundersemiparametricpartlylinearautoregressionasymptoticbehaviourandbandwidthselection AT boentegracielalina robustestimatorsundersemiparametricpartlylinearautoregressionasymptoticbehaviourandbandwidthselection |
| _version_ |
1768541792261636096 |