Abstract:
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.
Registro:
Documento: |
Artículo
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Título: | On a partly linear autoregressive model with moving average errors |
Autor: | Bianco, A.; Boente, G. |
Filiación: | Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires and CONICET, Ciudad Universitaria, Pabellón 2, Buenos Aires, C1428EHA, Argentina
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Palabras clave: | Ergodicity; Fisher-consistency; Moving average errors; Partly linear autoregression; Smoothing techniques |
Año: | 2010
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Volumen: | 22
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Número: | 6
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Página de inicio: | 797
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Página de fin: | 820
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DOI: |
http://dx.doi.org/10.1080/10485250903469744 |
Título revista: | Journal of Nonparametric Statistics
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Título revista abreviado: | J. Nonparametric Stat.
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ISSN: | 10485252
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Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10485252_v22_n6_p797_Bianco |
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Citas:
---------- APA ----------
Bianco, A. & Boente, G.
(2010)
. On a partly linear autoregressive model with moving average errors. Journal of Nonparametric Statistics, 22(6), 797-820.
http://dx.doi.org/10.1080/10485250903469744---------- CHICAGO ----------
Bianco, A., Boente, G.
"On a partly linear autoregressive model with moving average errors"
. Journal of Nonparametric Statistics 22, no. 6
(2010) : 797-820.
http://dx.doi.org/10.1080/10485250903469744---------- MLA ----------
Bianco, A., Boente, G.
"On a partly linear autoregressive model with moving average errors"
. Journal of Nonparametric Statistics, vol. 22, no. 6, 2010, pp. 797-820.
http://dx.doi.org/10.1080/10485250903469744---------- VANCOUVER ----------
Bianco, A., Boente, G. On a partly linear autoregressive model with moving average errors. J. Nonparametric Stat. 2010;22(6):797-820.
http://dx.doi.org/10.1080/10485250903469744