A note on the consistency of a robust estimator for threshold autoregressive processes

被引：4
|
作者：
Zhang, Li-Xin [4 ]
Chan, Wai-Sum [1 ]
Cheung, Siu-Hung [2 ,3 ]
Hung, King-Chi [2 ]
机构：
[1] Chinese Univ Hong Kong, Dept Finance, Hong Kong, Hong Kong, Peoples R China
[2] Chinese Univ Hong Kong, Dept Stat, Hong Kong, Hong Kong, Peoples R China
[3] Natl Cheng Kung Univ, Dept Stat, Tainan 70101, Taiwan
[4] Zhejiang Univ, Dept Math, Hangzhou 310028, Zhejiang, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 06期
关键词：
LEAST-SQUARES ESTIMATOR; TIME-SERIES; MODELS;
D O I：
10.1016/j.spl.2008.10.036
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The method of conditional least squares is commonly used for estimating threshold autoregressive parameters, and its consistency was derived by Chan [Chan, K.S., 1993. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. Annals of Statistics 21, 520-533]. In this note we consider a general class of robust estimators for threshold autoregressive models, and under some regularity conditions and a proper choice of the weight function, the consistency is demonstrated. (c) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：807 / 813
页数：7
相关论文
共 50 条
  • [41] Consistency of the spline approximation of the prediction of functional space valued autoregressive processes
    Cardot, H
    COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE, 1998, 326 (06): : 755 - 758
  • [42] On bivariate threshold Poisson integer-valued autoregressive processes
    Yang, Kai
    Zhao, Yiwei
    Li, Han
    Wang, Dehui
    METRIKA, 2023, 86 (08) : 931 - 963
  • [43] On bivariate threshold Poisson integer-valued autoregressive processes
    Kai Yang
    Yiwei Zhao
    Han Li
    Dehui Wang
    Metrika, 2023, 86 : 931 - 963
  • [44] Large deviations for the Yule-Walker estimator of near critical autoregressive processes
    Wang, Xiaochang
    Feng, Shui
    Guo, Yiping
    Remillard, Bruno N.
    STATISTICS & PROBABILITY LETTERS, 2024, 214
  • [45] GENERAL M-ESTIMATES FOR CONTAMINATED P TH-ORDER AUTOREGRESSIVE PROCESSES - CONSISTENCY AND ASYMPTOTIC NORMALITY - ROBUSTNESS IN AUTOREGRESSIVE PROCESSES
    BUSTOS, OH
    ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1982, 59 (04): : 491 - 504
  • [46] Strong consistency of conditional least squares estimators in multiple regime threshold autoregressive models
    Gabriella Schoier
    Journal of the Italian Statistical Society, 1999, 8 (1)
  • [47] Robust estimation of periodic autoregressive processes in the presence of additive outliers
    Sarnaglia, A. J. Q.
    Reisen, V. A.
    Levy-Leduc, C.
    JOURNAL OF MULTIVARIATE ANALYSIS, 2010, 101 (09) : 2168 - 2183
  • [48] Robust Shift Detection in Time-Varying Autoregressive Processes
    Fried, Roland
    AUSTRIAN JOURNAL OF STATISTICS, 2008, 37 (01) : 41 - 49
  • [49] Latent Autoregressive Gaussian Processes Models for Robust System Identification
    Mattos, Cesar Lincoln C.
    Damianou, Andreas
    Barreto, Guilherme A.
    Lawrence, Neil D.
    IFAC PAPERSONLINE, 2016, 49 (07): : 1121 - 1126
  • [50] Robust Bayesian model selection for autoregressive processes with additive outliers
    Le, ND
    Raftery, AE
    Martin, RD
    JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1996, 91 (433) : 123 - 131
12345