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Iterative plug-in algorithms for SEMIFAR models : definition, convergence, and asymptotic properties

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2002

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Journal of Computational and Graphical Statistics. 2002, 11(3), pp. 690-713. ISSN 1061-8600. eISSN 1537-2715. Available under: doi: 10.1198/106186002420

Zusammenfassung

This article proposes data-driven algorithms for fitting SEMIFAR models. The algorithms combine the data-driven estimation of the nonparametric trend and maximum likelihood estimation of the parameters. Convergence and asymptotic properties of the proposed algorithms are investigated. A large simulation study illustrates the practical performance of the methods.

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Fachgebiet (DDC)
510 Mathematik

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Antipersistence, Bandwidth selection, Fractional ARIMA, Long\-range dependence, Nonparametric regression, Semiparametric models

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ISO 690BERAN, Jan, Yuanhua FENG, 2002. Iterative plug-in algorithms for SEMIFAR models : definition, convergence, and asymptotic properties. In: Journal of Computational and Graphical Statistics. 2002, 11(3), pp. 690-713. ISSN 1061-8600. eISSN 1537-2715. Available under: doi: 10.1198/106186002420
BibTex
@article{Beran2002Itera-27572,
  year={2002},
  doi={10.1198/106186002420},
  title={Iterative plug-in algorithms for SEMIFAR models : definition, convergence, and asymptotic properties},
  number={3},
  volume={11},
  issn={1061-8600},
  journal={Journal of Computational and Graphical Statistics},
  pages={690--713},
  author={Beran, Jan and Feng, Yuanhua}
}
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