Consistent and asymptotically normal estimators for cyclically time-dependent linear models

MaRDI QIDQ1881377zbMATH OpenFDO

Authors Abdelouahab Bibi, C. Francq

Publication date 5 October 2004

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalityconsistencynonstationary processesseasonal time seriesquasi-generalized least squares estimatortime varying models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(14)

• Estimation of weak ARMA models with regime changes
• Estimating ARMA models with recurrent regime changes
• CONSISTENT AND ASYMPTOTICALLY NORMAL ESTIMATORS FOR PERIODIC BILINEAR MODELS
• Detecting hidden periodicities for models with cyclical errors
• QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.
• Estimation of harmonic component in regression with cyclically dependent errors
• Asymptotic influence of mean-correction on estimating a periodic AR(1) model.
• Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
• A Bayesian analysis of moving average processes with time-varying parameters
• Non-parametric estimation of time varying AR(1)-processes with local stationarity and periodicity
• On periodic time-varying bilinear processes: structure and asymptotic inference
• Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
• General estimation results for \textsc{tdVARMA} array models
• Estimation of time-varying ARMA models with Markovian changes in regime

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