A robust algorithm for parameter estimation in smooth transition autoregressive models

C-Tier
Journal: Economics Letters
Year: 2009
Volume: 103
Issue: 1
Pages: 36-38

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Finding 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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:103:y:2009:i:1:p:36-38
Journal Field
General
Author Count
1
Added to Database
2026-01-24