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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| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_10485252_v22_n6_p797_Bianco |
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todo:paper_10485252_v22_n6_p797_Bianco2023-10-03T15:58:36Z On a partly linear autoregressive model with moving average errors Bianco, A. Boente, G. Ergodicity Fisher-consistency Moving average errors Partly linear autoregression Smoothing techniques 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. 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_10485252_v22_n6_p797_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 |
Ergodicity Fisher-consistency Moving average errors Partly linear autoregression Smoothing techniques |
| spellingShingle |
Ergodicity Fisher-consistency Moving average errors Partly linear autoregression Smoothing techniques Bianco, A. Boente, G. On a partly linear autoregressive model with moving average errors |
| topic_facet |
Ergodicity Fisher-consistency Moving average errors Partly linear autoregression Smoothing techniques |
| description |
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. |
| format |
JOUR |
| author |
Bianco, A. Boente, G. |
| author_facet |
Bianco, A. Boente, G. |
| author_sort |
Bianco, A. |
| title |
On a partly linear autoregressive model with moving average errors |
| title_short |
On a partly linear autoregressive model with moving average errors |
| title_full |
On a partly linear autoregressive model with moving average errors |
| title_fullStr |
On a partly linear autoregressive model with moving average errors |
| title_full_unstemmed |
On a partly linear autoregressive model with moving average errors |
| title_sort |
on a partly linear autoregressive model with moving average errors |
| url |
http://hdl.handle.net/20.500.12110/paper_10485252_v22_n6_p797_Bianco |
| work_keys_str_mv |
AT biancoa onapartlylinearautoregressivemodelwithmovingaverageerrors AT boenteg onapartlylinearautoregressivemodelwithmovingaverageerrors |
| _version_ |
1782025646516469760 |