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Abstract:

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.

Registro:

Documento: Artículo
Título:Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection
Autor:Bianco, A.; Boente, G.
Filiación:Instituto de Cálculo, Ciudad Universitaria, Pabellón 2, Buenos Aires, C1428 EHA, Argentina
Palabras clave:Asymptotic properties; Cross-validation; Filtering; Partly linear autoregression; Prediction; Rate of convergence; Robust estimation; Smoothing techniques
Año:2007
Volumen:28
Número:2
Página de inicio:274
Página de fin:306
DOI: http://dx.doi.org/10.1111/j.1467-9892.2006.00511.x
Título revista:Journal of Time Series Analysis
Título revista abreviado:J. Time Ser. Anal.
ISSN:01439782
CODEN:JTSAD
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01439782_v28_n2_p274_Bianco

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Citas:

---------- APA ----------
Bianco, A. & Boente, G. (2007) . Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection. Journal of Time Series Analysis, 28(2), 274-306.
http://dx.doi.org/10.1111/j.1467-9892.2006.00511.x
---------- CHICAGO ----------
Bianco, A., Boente, G. "Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection" . Journal of Time Series Analysis 28, no. 2 (2007) : 274-306.
http://dx.doi.org/10.1111/j.1467-9892.2006.00511.x
---------- MLA ----------
Bianco, A., Boente, G. "Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection" . Journal of Time Series Analysis, vol. 28, no. 2, 2007, pp. 274-306.
http://dx.doi.org/10.1111/j.1467-9892.2006.00511.x
---------- VANCOUVER ----------
Bianco, A., Boente, G. Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection. J. Time Ser. Anal. 2007;28(2):274-306.
http://dx.doi.org/10.1111/j.1467-9892.2006.00511.x