Robust semiparametric nonlinear autoregressive models (2022)
- Authors:
- Autor USP: MORETTIN, PEDRO ALBERTO - IME
- Unidade: IME
- Subjects: MODELOS NÃO LINEARES; ANÁLISE DE SÉRIES TEMPORAIS; DISTRIBUIÇÃO T
- Keywords: Scale Mixtures; Splines; EM Algorithm; Autoregression
- Language: Inglês
- Abstract: In this paper we consider a nonlinear autoregression for time series data and estimate the target function using the EM algorithm. In order to get estimators more resitant to ouliers than those based on Normal errors, we also assume them to follow a scale mixture of Gaussian distributions. This class of distributions includes, among others, the Student’s t distribution and symmetric stable distributions. The methodology is extended to the case of the partially linear model. To illustrate the methodology and assess its performance, we conduct a simulation study and make an application to a real series.
- Imprenta:
- Source:
- Título: Livro de Resumos
- Conference titles: Simpósio Nacional de Probabilidade e Estatística - SINAPE
-
ABNT
TADDEO, Marcelo Magalhães e MORETTIN, Pedro Alberto. Robust semiparametric nonlinear autoregressive models. 2022, Anais.. São Paulo: ABE, 2022. Disponível em: https://app.eventize.com.br/upload/004449/files/Sinape2022_FINAL.pdf. Acesso em: 18 fev. 2026. -
APA
Taddeo, M. M., & Morettin, P. A. (2022). Robust semiparametric nonlinear autoregressive models. In Livro de Resumos. São Paulo: ABE. Recuperado de https://app.eventize.com.br/upload/004449/files/Sinape2022_FINAL.pdf -
NLM
Taddeo MM, Morettin PA. Robust semiparametric nonlinear autoregressive models [Internet]. Livro de Resumos. 2022 ;[citado 2026 fev. 18 ] Available from: https://app.eventize.com.br/upload/004449/files/Sinape2022_FINAL.pdf -
Vancouver
Taddeo MM, Morettin PA. Robust semiparametric nonlinear autoregressive models [Internet]. Livro de Resumos. 2022 ;[citado 2026 fev. 18 ] Available from: https://app.eventize.com.br/upload/004449/files/Sinape2022_FINAL.pdf - Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
- Utilização de ondaletas em modelos com mudança de regime
- Wavelets in state space models
- Estimation of semiparametric models with errors following a scale mixture of Gaussian distributions
- Comparing non-stationary and irregularly spaced time series
- Walsh-function analysis of a certain class of time series
- Limit theorems for stationary and dyadic-stationary processes
- A note on a central limit theorem for dependent random variables
- Análise Bayesiana do modelo Tarso
- Estimation of the Walsh spectrum (Corresp.)
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