Weighted least absolute deviations estimation for periodic ARMA models

被引：0
|
作者：
Baoguo Pan
Min Chen
Yan Wang
机构：
[1] Hubei Engineering University,School of Mathematics and Statistics
[2] University of Chinese Academy of Sciences,Academy of Mathematics and Systems Science
[3] Capital University of Economics and Finance,School of Statistics
来源：
Acta Mathematica Sinica, English Series | 2015年 / 31卷
关键词：
Periodic ARMA; WLADE; asymptotic normality; strict periodic stationarity; periodic ergodicity; 62M10; 62F12;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper investigates the weighted least absolute deviations estimator (WLADE) for causal and invertible periodic autoregressive moving average (PARMA) models. Asymptotic normality of the estimator is derived under a fractional moment condition. A simulation study is given to assess the performance of the proposed WLADE.
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页码：1273 / 1288
页数：15
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