A Semiparametric Approach for Modeling Partially Linear Autoregressive Model with Skew Normal Innovations
The nonlinear autoregressive models under normal innovations are commonly used for nonlinear time series analysis in various fields. However, using this class of models for modeling skewed data leads to unreliable results due to the disability of these models for modeling skewness. In this setting,...
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Advances in Mathematical Physics |
| Online Access: | http://dx.doi.org/10.1155/2022/7863474 |
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| author | Leila Sakhabakhsh Rahman Farnoosh Afshin Fallah Mohammadhassan Behzadi |
| author_facet | Leila Sakhabakhsh Rahman Farnoosh Afshin Fallah Mohammadhassan Behzadi |
| author_sort | Leila Sakhabakhsh |
| collection | DOAJ |
| description | The nonlinear autoregressive models under normal innovations are commonly used for nonlinear time series analysis in various fields. However, using this class of models for modeling skewed data leads to unreliable results due to the disability of these models for modeling skewness. In this setting, replacing the normality assumption with a more flexible distribution that can accommodate skewness will provide effective results. In this article, we propose a partially linear autoregressive model by considering the skew normal distribution for independent and dependent innovations. A semiparametric approach for estimating the nonlinear part of the regression function is proposed based on the conditional least squares approach and the nonparametric kernel method. Then, the conditional maximum-likelihood approach is used to estimate the unknown parameters through the expectation-maximization (EM) algorithm. Some asymptotic properties for the semiparametric method are established. Finally, the performance of the proposed model is verified through simulation studies and analysis of a real dataset. |
| format | Article |
| id | doaj-art-0a10323fd7a7417185b398fa1efc2f26 |
| institution | Kabale University |
| issn | 1687-9139 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Advances in Mathematical Physics |
| spelling | doaj-art-0a10323fd7a7417185b398fa1efc2f262025-02-03T06:06:48ZengWileyAdvances in Mathematical Physics1687-91392022-01-01202210.1155/2022/7863474A Semiparametric Approach for Modeling Partially Linear Autoregressive Model with Skew Normal InnovationsLeila Sakhabakhsh0Rahman Farnoosh1Afshin Fallah2Mohammadhassan Behzadi3Department of StatisticsSchool of MathematicsFaculty of Basic SciencesDepartment of StatisticsThe nonlinear autoregressive models under normal innovations are commonly used for nonlinear time series analysis in various fields. However, using this class of models for modeling skewed data leads to unreliable results due to the disability of these models for modeling skewness. In this setting, replacing the normality assumption with a more flexible distribution that can accommodate skewness will provide effective results. In this article, we propose a partially linear autoregressive model by considering the skew normal distribution for independent and dependent innovations. A semiparametric approach for estimating the nonlinear part of the regression function is proposed based on the conditional least squares approach and the nonparametric kernel method. Then, the conditional maximum-likelihood approach is used to estimate the unknown parameters through the expectation-maximization (EM) algorithm. Some asymptotic properties for the semiparametric method are established. Finally, the performance of the proposed model is verified through simulation studies and analysis of a real dataset.http://dx.doi.org/10.1155/2022/7863474 |
| spellingShingle | Leila Sakhabakhsh Rahman Farnoosh Afshin Fallah Mohammadhassan Behzadi A Semiparametric Approach for Modeling Partially Linear Autoregressive Model with Skew Normal Innovations Advances in Mathematical Physics |
| title | A Semiparametric Approach for Modeling Partially Linear Autoregressive Model with Skew Normal Innovations |
| title_full | A Semiparametric Approach for Modeling Partially Linear Autoregressive Model with Skew Normal Innovations |
| title_fullStr | A Semiparametric Approach for Modeling Partially Linear Autoregressive Model with Skew Normal Innovations |
| title_full_unstemmed | A Semiparametric Approach for Modeling Partially Linear Autoregressive Model with Skew Normal Innovations |
| title_short | A Semiparametric Approach for Modeling Partially Linear Autoregressive Model with Skew Normal Innovations |
| title_sort | semiparametric approach for modeling partially linear autoregressive model with skew normal innovations |
| url | http://dx.doi.org/10.1155/2022/7863474 |
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