Robust Estimation of Regime Switching Models

被引：5

作者：

Grossi, Luigi ^{[1
]}

Nan, Fany ^{[1
]}

机构：

[1] Univ Verona, Verona, Italy

来源：

ADVANCES IN STATISTICAL MODELS FOR DATA ANALYSIS | 2015年

关键词：

GM estimator; Nonlinear models; Outliers;

D O I：

10.1007/978-3-319-17377-1_14

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：

It is well known that generalized-M (GM) estimators for linear models are consistent and lead to a small loss of efficiency with respect to least squares (LS) estimator. When they are extended to threshold models the consistency of GM estimators is guaranteed only under certain objective functions. In this paper we explore, in a simulation experiment, the loss of consistency of GM-SETAR estimator under different objective functions, time-series length, parameter combinations and type of contaminations. Finally the best robust estimator is applied to study the dynamic of electricity prices where regime switching and high spikes are widely observed features.

引用

页码：125 / 135

页数：11

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