Estimation in periodic restricted EXPAR(1) models

DOI10.1080/03610918.2017.1361975OpenAlexW2744472438MaRDI QIDQ5085063

M. Merzougui

Publication date: 29 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1361975

zbMATH Keywords

nonlinear time seriesperiodically correlated processleast-square estimationperiodic restricted exponential autoregressive model

Mathematics Subject Classification ID

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

Related Items (2)

Nonlinear least squares estimation of the periodic EXPAR(1) model ⋮ Fitting the exponential autoregressive model through recursive search

Cites Work

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• THE STATISTICAL ANALYSIS OF PERTURBED LIMIT CYCLE PROCESSES USING NONLINEAR TIME SERIES MODELS
• DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION
• Nonlinear modelling of periodic threshold autoregressions using Tsmars
• Testing for periodic autocorrelations in seasonal time series data

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