Asymptotic influence of mean-correction on estimating a periodic AR(1) model.

DOI10.1016/j.crma.2005.01.004zbMath1061.62134OpenAlexW2120795800MaRDI QIDQ1775078

Antony Gautier

Publication date: 4 May 2005

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2005.01.004

Mathematics Subject Classification ID

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

Related Items (1)

Extension of the Chandrasekhar filter to the case of periodic state-space models

Cites Work

• Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
• Consistent and asymptotically normal estimators for cyclically time-dependent linear models
• Large Sample Properties of Parameter Estimates for Periodic ARMA Models

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