Robust estimation for periodic autoregressive time series

被引：14

作者：

Shao, Q. ^{[1
]}

机构：

[1] Univ Toledo, Dept Math, Toledo, OH 43606 USA

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2008年 / 29卷 / 02期

关键词：

periodically stationary time series; periodic autoregressive models; robust estimators; estimating equations; asymptotic relative efficiency;

D O I：

10.1111/j.1467-9892.2007.00555.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

A robust estimation procedure for periodic autoregressive (PAR) time series is introduced. The asymptotic properties and the asymptotic relative efficiency are discussed by the estimating equation approach. The performance of the robust estimators for PAR time-series models with order one is illustrated by a simulation study. The technique is applied to a real data analysis.

引用

页码：251 / 263

页数：13

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