Estimation for periodic ARMA models with unspecified noises

被引：1
|
作者：
Pan, Baoguo [1 ]
机构：
[1] Hubei Engn Univ, Sch Math & Stat, Xiaogan 432000, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2019年 / 48卷 / 12期
关键词：
PARMA; WLADE; asymptotic normality; random weighting approach; GARCH; PGARCH;
D O I：
10.1080/03610926.2018.1473597
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we study the weighted least absolute deviations estimator (WLADE) for Periodic ARMA (PARMA) models with unspecified noises, asymptotic normality of the estimator is derived. The random weighting approach is proposed to estimate the asymptotic covariance matrices of WLADE. Simulation study is carried out to examine the performance of the proposed procedure.
引用
收藏
页码：2948 / 2961
页数：14
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