Consistent and asymptotically normal estimators for cyclically time-dependent linear models
From MaRDI portal
Publication:1881377
zbMath1049.62094MaRDI QIDQ1881377
Abdelouahab Bibi, Christian Francq
Publication date: 5 October 2004
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
consistency; asymptotic normality; nonstationary processes; seasonal time series; quasi-generalized least squares estimator; time varying models
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations, On periodic time-varying bilinear processes: structure and asymptotic inference, 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, Estimation of time-varying ARMA models with Markovian changes in regime, Asymptotic influence of mean-correction on estimating a periodic AR(1) model., Estimating ARMA models with recurrent regime changes, Estimation of weak ARMA models with regime changes, Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
