Smooth transition moving average models: Estimation, testing, and computation

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-09-07 DOI:10.1111/jtsa.12721

Xinyu Zhang, Dong Li

引用次数: 0

Abstract

The article introduces a new subclass of nonlinear moving average model, called the smooth transition moving average (STMA) model, and studies its probabilistic properties. It is shown that, under some mild conditions, the least squares estimation (LSE) is strongly consistent and asymptotically normal. A powerful score-based goodness-of-fit test for the STMA model is presented. A different parametrization from the classical one is applied to numerically improve the identification and estimation of this model. Simulation studies are conducted to assess the performance of the LSE and the score-based test in finite samples. The results are illustrated with an application to the weekly exchange rate of the USA Dollar to the British Pound.

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平滑过渡移动平均模型：估计、测试和计算

本文介绍了一类新的非线性移动平均模型，称为平稳转移移动平均（STMA）模型，并研究了其概率性质。结果表明，在某些温和条件下，最小二乘估计具有强一致性和渐近正态性。针对STMA模型，提出了一种强大的基于分数的拟合优度检验方法。采用与经典参数化不同的参数化方法，在数值上改进了该模型的识别和估计。进行模拟研究以评估LSE和有限样本中基于分数的测试的性能。通过应用美元对英镑的周汇率来说明结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.