INVESTIGADORES
BOENTE BOENTE Graciela Lina
artículos
Título:
On a partly linear autoregressive model with moving average errors
Autor/es:
BIANCO, ANA; BOENTE, GRACIELA
Revista:
JOURNAL OF NONPARAMETRIC STATISTICS
Editorial:
TAYLOR & FRANCIS LTD
Referencias:
Lugar: London; Año: 2010 vol. 22 p. 797 - 820
ISSN:
1048-5252
Resumen:
In this paper, we generalize the partly linear autoregression model considered in the literature by including moving average errors when we want to allow a large dependence to the past observations. The strong ergodicity of the process is derived. A consistent procedure to estimate the parametric and nonparametric components is provided together with a test statistic that allows to check the presence of a moving average component in the model. Also, a Monte Carlo study is carried out to check the performance of the given proposals.
