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.

引用

页码：1273 / 1288

页数：15

共 50 条

[21] Weighted Median of the Data in Solving Least Absolute Deviations Problems
Vazler, Ivan
Sabo, Kristian
Scitovski, Rudolf
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2012, 41 (08) : 1455 - 1465
[22] Least absolute deviations estimation for uncertain autoregressive model
Xiangfeng Yang
Gyei-Kark Park
Yancai Hu
[J]. Soft Computing, 2020, 24 : 18211 - 18217
[23] Least absolute deviations estimation for uncertain autoregressive model
Yang, Xiangfeng
Park, Gyei-Kark
Hu, Yancai
[J]. SOFT COMPUTING, 2020, 24 (23) : 18211 - 18217
[24] Least absolute deviations estimation via the EM algorithm
Phillips, RF
[J]. STATISTICS AND COMPUTING, 2002, 12 (03) : 281 - 285
[25] Generalized least squares estimation of ARMA models
Kavalieris, L
Hannan, EJ
Salau, M
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2003, 24 (02) : 165 - 172
[26] Least absolute deviations estimation via the EM algorithm
Robert F. Phillips
[J]. Statistics and Computing, 2002, 12 : 281 - 285
[27] Estimation for periodic ARMA models with unspecified noises
Pan, Baoguo
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2019, 48 (12) : 2948 - 2961
[28] LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR THE CENSORED REGRESSION-MODEL
POWELL, JL
[J]. JOURNAL OF ECONOMETRICS, 1984, 25 (03) : 303 - 325
[29] Least absolute deviations estimation for uncertain regression with imprecise observations
Zhe Liu
Ying Yang
[J]. Fuzzy Optimization and Decision Making, 2020, 19 : 33 - 52
[30] Least absolute deviations estimation for uncertain regression with imprecise observations
Liu, Zhe
Yang, Ying
[J]. FUZZY OPTIMIZATION AND DECISION MAKING, 2020, 19 (01) : 33 - 52

← 1 2 3 4 5 →