Weighted Least Absolute Deviations Estimation for Periodic ARMA Models

被引：0

作者：

Baoguo PAN ^{[1
,2
]}

Min CHEN ^{[2
,3
]}

Yan WANG ^{[2
]}

机构：

[1] School of Mathematics and Statistics, Hubei Engineering University

[2] Academy of Mathematics and Systems Science, University of Chinese Academy of Sciences

[3] School of Statistics, Capital University of Economics and Finance

来源：

Acta Mathematica Sinica,English Series | 2015年 / 08期

基金：

中国国家自然科学基金;

关键词：

Periodic ARMA; WLADE; asymptotic normality; strict periodic stationarity; periodic ergodicity;

D O I：

暂无

中图分类号：

O212.1 [一般数理统计];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper investigates the weighted least absolute deviations estimator(WLADE) for causal and invertible periodic autoregressive moving average(PARMA) models. Asymptotic normality of the estimator is derived under a fractional moment condition. A simulation study is given to assess the performance of the proposed WLADE.

引用

页码：1273 / 1288

页数：16

共 10 条

[1] Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
Pan, Baoguo
Chen, Min
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2013, 143 (04) : 716 - 729
[2] THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA( p , q ) MODELS[J] . Ke Zhu,Shiqing Ling.Econometric Theory . 2012
[3] Least absolute deviation estimation for general autoregressive moving average time-series models
Wu, Rongning
Davis, Richard A.
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2010, 31 (02) : 98 - 112
[4] Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models[J] . Shiqing Ling.Journal of Econometrics . 2006 (2)
[5] LS estimation of periodic autoregressive models with non-Gaussian errors: a simulation study[J] . Abdullah A. Smadi.Journal of Statistical Computation and Simulation . 2005 (3)
[6] L p -estimators in ARCH models[J] . Lajos Horváth,Friedrich Liese.Journal of Statistical Planning and Inference . 2002 (2)
[7] Large Sample Properties of Parameter Estimates for Periodic ARMA Models[J] . I. V.Basawa,RobertLund.Journal of Time Series Analysis . 2002 (6)
[8] CONCEPTUAL BASIS OF SEASONAL STREAMFLOW TIME-SERIES MODELS
SALAS, JD
OBEYSEKERA, JTB
[J]. JOURNAL OF HYDRAULIC ENGINEERING-ASCE, 1992, 118 (08): : 1186 - 1194
[9] KALMAN FILTER ESTIMATION FOR PERIODIC AUTOREGRESSIVE-MOVING AVERAGE MODELS
JIMENEZ, C
MCLEOD, AI
HIPEL, KW
[J]. STOCHASTIC HYDROLOGY AND HYDRAULICS, 1989, 3 (03): : 227 - 240
[10] Some results in periodic autoregression .2 B. M. Troutman. Biometrika . 1979

← 1 →