Linear programming-based estimators in nonnegative autoregression

Linear programming-based estimators in nonnegative autoregression

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...

Saved in:

書目詳細資料
主要作者:	PREVE, Daniel P. A.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2015
主題:	Robust estimation Linear programming estimator Strong convergence Nonlinear nonnegative autoregression Dependent non-identically distributed errors Heavy-tailed errors Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/2330 https://ink.library.smu.edu.sg/context/soe_research/article/3329/viewcontent/AMES2014_330.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

相似書籍

Forecasting realized volatility using a nonnegative semiparametric model
由: ERIKSSON, Anders, et al.
出版: (2019)

Modified QML Estimation of Spatial Autoregressive Models with Unknown Heteroskedasticity and Nonnormality
由: LIU, Shew Fan, et al.
出版: (2014)

Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models
由: SU, Liangjun, et al.
出版: (2010)

Modified QML Estimation of Spatial Autoregressive Models with Unknown Heteroskedasticity and Nonnormality
由: LIU, Shew Fan, et al.
出版: (2015)

Forecasting Realized Volatility Using a Nonnegative Semiparametric Model
由: Preve, D., et al.
出版: (2009)

Forecasting Realized Volatility Using a Nonnegative Semiparametric Time Series Model
由: Eriksson, A., et al.
出版: (2010)

A Robust Strategy for Joint Data Reconciliation and Parameter Estimation
由: Joe, Y.Y., et al.
出版: (2014)

Robust estimation and inference of spatial panel data models with fixed effects
由: LIU, Shew Fan, et al.
出版: (2020)

Adaptive Estimation of Autoregressive Models with Time-Varying Variances
由: XU, Ke-Li, et al.
出版: (2008)

Specification test for spatial autoregressive models
由: SU, Liangjun, et al.
出版: (2017)

How vulnerable is innovation-based remote state estimation: fundamental limits under linear attacks
由: Liu, Hanxiao, et al.
出版: (2022)

X-differencing and dynamic panel model estimation
由: HAN, Chirok, et al.
出版: (2014)

Combined data reconciliation and parameter estimation
由: Thian, B.S., et al.
出版: (2014)

Nonparametric density deconvolution by weighted kernel estimators
由: Hazelton, M.L., et al.
出版: (2014)

A least-square radial point collocation method for adaptive analysis in linear elasticity
由: Kee, B.B.T., et al.
出版: (2014)

On weighted least squares estimation for parameters of the two-parameter weibull distribution
由: Zhang, L.F., et al.
出版: (2014)

Standard errors and covariance matrices for smoothed rank estimators
由: Brown, B.M., et al.
出版: (2014)

A local breakdown property of robust tests in linear regression
由: He, X.
出版: (2014)

Linear regression parameter estimation methods for the weibull distribution
由: ZHANG LIFANG
出版: (2010)

On constrained M-estimation and its recursive analog in multivariate linear regression models
由: Bai, Z., et al.
出版: (2014)

Asymptotics and bootstrap for random-effects panel data transformation models
由: SU, Liangjun, et al.
出版: (2018)

Robust estimation in capital asset pricing model
由: Wong, W.-K., et al.
出版: (2014)

Multi-step prediction for nonlinear autoregressive models based on empirical distributions
由: Guo, M., et al.
出版: (2014)

Computing the soft error rate of a combinational logic circuit using parameterized descriptors
由: Rao, R.R., et al.
出版: (2016)

VALUATION ACCURACY OF PRIVATE RESIDENTIAL PROPERTIES IN SINGAPORE
由: TAN LI HONG GRACE
出版: (2021)

Semiparametric GMM Estimation of Spatial Autoregressive Models
由: SU, Liangjun
出版: (2012)

Systematic error modeling and bias estimation
由: Zhang, F, et al.
出版: (2020)

Space-time trellis codes over rapid Rayleigh fading channels with channel estimation - Part II: Performance analysis and code design for non-identical channels
由: Li, Y., et al.
出版: (2014)

Efficient error estimating coding: Feasibility and applications
由: Chen, B., et al.
出版: (2013)

Efficient error estimating coding: Feasibility and applications
由: Chen, B., et al.
出版: (2013)

BUGS for a Bayesian analysis of stochastic volatility models
由: Meyer, Renate, et al.
出版: (2000)

Capacity of rate adaptive MQAM systems in the presence of channel estimation errors under BER constraint
由: Mo, R., et al.
出版: (2014)

A Robust LM Test for Spatial Error Components
由: YANG, Zhenlin
出版: (2009)

A Robust LM Test for Spatial Error Components
由: YANG, Zhenlin
出版: (2010)

Instrumental Variable Quantile Estimation of Spatial Autoregressive Models
由: SU, Liangjun, et al.
出版: (2011)

Adaptive estimation and rejection of unknown sinusoidal disturbances through measurement feedback for a class of non-minimum phase non-linear MIMO systems
由: Lan, W., et al.
出版: (2014)

Estimating parameters in autoregressive models with asymmetric innovations
由: Wong, W.-K., et al.
出版: (2011)

Variance analysis of robust state estimation in power system using influence function
由: Ho, Weng Khuen, et al.
出版: (2017)

Analysis of orthogonality error propagation for FRANS and HFRANS algorithms
由: Yang, L., et al.
出版: (2014)

Mathematics
由: YANG JING
出版: (2014)