Linear programming-based estimators in nonnegative autoregression

• المؤلف الرئيسي: PREVE, Daniel P. A.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2015
• الموضوعات: Robust estimation; Linear programming estimator; Strong convergence; Nonlinear nonnegative autoregression; Dependent non-identically distributed errors; Heavy-tailed errors; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2330; https://ink.library.smu.edu.sg/context/soe_research/article/3329/viewcontent/AMES2014_330.pdf
• المؤسسة: Singapore Management University

This note studies robust estimation of the autoregressive (AR) parameter in a nonlinear, nonnegative AR model. It is shown that a linear programming estimator (LPE), considered by Nielsen and Shephard (2003) among others, remains consistent under severe model misspecification. Consequently, the LPE...