کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
840998 908497 2011 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A semiparametric method for estimating nonlinear autoregressive model with dependent errors
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی مهندسی (عمومی)
پیش نمایش صفحه اول مقاله
A semiparametric method for estimating nonlinear autoregressive model with dependent errors
چکیده انگلیسی

The first-order nonlinear autoregressive model is considered and a semiparametric method is proposed to estimate regression function. In the presented model, dependent errors are defined as first-order autoregressive AR(1). The conditional least squares method is used for parametric estimation and the nonparametric kernel approach is applied to estimate regression adjustment. In this case, some asymptotic behaviors and simulated results for the semiparametric method are presented. Furthermore, the method is applied for the financial data in Iran’s Tejarat-Bank.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Nonlinear Analysis: Theory, Methods & Applications - Volume 74, Issue 17, December 2011, Pages 6358–6370
نویسندگان
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