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The truncated least squares method for a class of autoregressive models. (Romanian) Zbl 1084.62515
Summary: We determine the parameters \(a_j\) and \(b_j\) of a Kremer type autoregressive model \[ X_{ij}=a_i+(b_j+r_{ij})X_{i,j}+e_{ij},\;i=\overline{1,n},\;j=\overline{2,n}, \] using the truncated least squares method. We reduce the statistical problem to minimizing a concave function over a polytope, for wich we present an iterative procedure for the determination of a local optimum. In the end, adaptation of Tuy’s cutting plane method is used for the construction of the global optimum of our problem.
MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C60 Computational problems in statistics (MSC2010)
65K10 Numerical optimization and variational techniques
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