Large sample properties of parameter estimates for periodic ARMA models
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An ARMA model with coefficients which are periodic functions of the time (with known period) is considered. The authors demonstrate how to represent this model in a multivariate ARMA form. Weighted least squares estimators of the coefficients and the innovation variances are considered. Asymptotic normality of these estimators is demonstrated for causal invertible Gaussian models.
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- scientific article; zbMATH DE number 4032860
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