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MODELING OF ECONOMIC DATA USING ESTIMATING FIRST-ORDER FUNCTIONAL AUTOREGRESSIVE MODELS BASED ON SEMI-PARAMETRIC APPROACH

Author(s)
J. Amiri Department of Statistics, Science and Research Branch Islamic Azad University,Tehran,Iran
R. Farnoosh School of Mathematics, Iran University of Science and Technology,Tehran 16846,Iran
M.H. Behzadi Department of Statistics, Science and Research Branch Islamic Azad University,Tehran,Iran
Abstract
In this paper, we have applied the semi-parametric method for estimating the regression function to estimate first-order functional autoregressive models. To this end, the conditional nonlinear least squares estimation method is used to estimate the parameter and the nonparametric kernel approach is applied to estimate the adjustment factor. In this case, we have also proven some asymptotic behaviors of this estimator and shown its adequacy using simulations and a real series of financial data in Iran's MelliBank.
Publication Details
Page(s) 249-260
DOI DOI not available
Published Journal: Pakistan Journal of Statistics, Volume: 35, Issue: 3, Year: 2019

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Keywords
Semi-parametric estimation, functional autoregressive model, nonparametric kernel., the conditional nonlinear least squares estimation method
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