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

共 50 条

[21] Variance estimation in nonlinear autoregressive time series models
Cheng, Fuxia
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2011, 141 (04) : 1588 - 1592
[22] Estimation for autoregressive time series with a root near 1
Roy, A
Fuller, WA
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2001, 19 (04) : 482 - 493
[23] Nonlinear maximum likelihood estimation of autoregressive time series
McWhorter, LT
Scharf, LL
[J]. IEEE TRANSACTIONS ON SIGNAL PROCESSING, 1995, 43 (12) : 2909 - 2919
[24] On the estimation of multiple order autoregressive time series models
Hili, O
[J]. COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE, 2001, 332 (08): : 755 - 759
[25] On periodic autoregressive processes estimation
Lambert-Lacroix, S
[J]. IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2000, 48 (06) : 1800 - 1803
[26] Parsimonious periodic autoregressive models for time series with evolving trend and seasonality
Battaglia, Francesco
Cucina, Domenico
Rizzo, Manuel
[J]. STATISTICS AND COMPUTING, 2020, 30 (01) : 77 - 91
[27] On modelling and diagnostic checking of vector periodic autoregressive time series models
Ursu, Eugen
Duchesne, Pierre
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2009, 30 (01) : 70 - 96
[28] Parsimonious periodic autoregressive models for time series with evolving trend and seasonality
Francesco Battaglia
Domenico Cucina
Manuel Rizzo
[J]. Statistics and Computing, 2020, 30 : 77 - 91
[29] Predicting compositional time series via autoregressive Dirichlet estimation
Ganbin Zhou
Ping Luo
Qing He
[J]. Science China Information Sciences, 2018, 61
[30] Efficient estimation in nonlinear autoregressive time-series models
Koul, HL
Schick, A
[J]. BERNOULLI, 1997, 3 (03) : 247 - 277

← 1 2 3 4 5 →