A robust algorithm for parameter estimation in smooth transition autoregressive models
AbstractFinding a precise estimate for the smoothness parameter of LSTAR models is notoriously difficult. This paper introduces a robust estimation method for the transition and autoregressive parameters of STAR models, comprising gradient descent and singular value decomposition to account for heteroscedastic noise.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 103 (2009)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/ecolet
STAR models Gradient descent Singular value decomposition Heteroscedastic noise;
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