Back to Search
Start Over
Nonlinear semiparametric AR(1) model with skew-symmetric innovations.
- Source :
- Communications in Statistics: Simulation & Computation; 2018, Vol. 47 Issue 4, p1453-1462, 10p
- Publication Year :
- 2018
-
Abstract
- In this paper, we expand a first-order nonlinear autoregressive (AR) model with skew normal innovations. A semiparametric method is proposed to estimate a nonlinear part of model by using the conditional least squares method for parametric estimation and the nonparametric kernel approach for the AR adjustment estimation. Then computational techniques for parameter estimation are carried out by the maximum likelihood (ML) approach using Expectation-Maximization (EM) type optimization and the explicit iterative form for the ML estimators are obtained. Furthermore, in a simulation study and a real application, the accuracy of the proposed methods is verified. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03610918
- Volume :
- 47
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Communications in Statistics: Simulation & Computation
- Publication Type :
- Academic Journal
- Accession number :
- 130101637
- Full Text :
- https://doi.org/10.1080/03610918.2017.1315772