Communications for Statistical Applications and Methods

  • 제8권3호
  • /
  • Pages.633-641
  • /
  • 2001
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  • 2287-7843(pISSN)
  • /
  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Asymmetric Least Squares Estimation for A Nonlinear Time Series Regression Model

  • Kim, Tae Soo (Research Professor, Department of Industrial Engineering, Hanyang University, Ansan 425-791) ;
  • Kim, Hae Kyoung (Professor, Department of Mathematics, Yonsei University, Seoul, 120-791) ;
  • Yoon, Jin Hee (Ph.D, Course Student, Department of Mathematics, Yonsei University, Seoul, 120-791)
  • 발행 : 2001.12.01
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초록

The least squares method is usually applied when estimating the parameters in the regression models. However the least square estimator is not very efficient when the distribution of the error is skewed. In this paper, we propose the asymmetric least square estimator for a particular nonlinear time series regression model, and give the simple and practical sufficient conditions for the strong consistency of the estimators.

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참고문헌

  1. Ann Math Stat. v.40 Asymptotic properties of nonlinear least squares estimations Jennrich,R.
  2. Econometrica v.73 Regression quantiles Koenker,R.;Bassett,G.
  3. Statistics and Probability Letters v.18 Asymptotic Theory of Least Squares Estimator of a particulr nonlinear regression model Kundu,D.
  4. Communication in Statistics-Theory v.23 no.1 Asymptotic Theory of least Squares Estimator of a nonlinear time series regression model Kundu,D.;Mitra,A.
  5. Journal of the Korean Statistical Society v.29 no.2 Asymptotic Properties of the LAD Estimators of a Nonlinear Time Series Regression Model Tae Soo Kim;Hae Kyoung Kim;Seung Hoe Choi
  6. Biometrica v.58 On the Estimation of a Harmonic component in a Time Series with Stationary Independent Residuals Walker,A.M.
  7. Econometrica v.48 Nonlinear regression on cross-section data White,H.
  8. Econometrica v.4 Asymmetric Least Squares Estimation and Testing Whitney K.Newey;James L.Powell
  9. The Annals of statistics v.9 Theory of nonlinear least squares estimation Wu,C.F.