Consistent and asymptotically normal estimators for cyclically time-dependent linear models

被引：11

作者：

Bibi, A

Francq, C

机构：

[1] Univ Mentouri Constantine, Dept Math, Constantine 25000, Algeria

[2] Univ Littoral Cote dOpale, LMPA Joseph Liouville, Ctr Univ Mi Voix, F-62228 Calais, France

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 2003年 / 55卷 / 01期

关键词：

time varying models; nonstationary processes; quasi-generalized least squares estimator; consistency; asymptotic normality;

D O I：

10.1023/A:1024674428698

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a general class of time series linear models where parameters switch according to a known fixed calendar. These parameters are estimated by means of quasi-generalized least squares estimators. Conditions for strong consistency and asymptotic normality are given. Applications to cyclical ARMA models with non constant periods are considered.

引用

页码：41 / 68

页数：28

共 32 条

[1]

Adams G. J., 1995, J TIME SER ANAL, V16, P127, DOI DOI 10.1111/J.1467-9892.1995.TB00226.X

[2] An extension problem for discrete-time almost periodically correlated stochastic processes [J].

Alpay, D ;

Freydin, B ;

Loubaton, P .

LINEAR ALGEBRA AND ITS APPLICATIONS, 2000, 308 (1-3) :163-181

[3] An extension problem for discrete-time periodically correlated stochastic processes [J].

Alpay, D ;

Chevreuil, A ;

Loubaton, P .

JOURNAL OF TIME SERIES ANALYSIS, 2001, 22 (01) :1-11

[4]

ANDERSON PL, 1983, J TIME SER ANAL, V14, P1

[5]

AZRAK R, 2000, UNPUB ASYMPTOTIC PRO

[6] Large sample properties of parameter estimates for periodic ARMA models [J].

Basawa, IV ;

Lund, R .

JOURNAL OF TIME SERIES ANALYSIS, 2001, 22 (06) :651-663

[7]

BENTARZI M, 1993, J TIME SER ANAL, V15, P262

[8]

Billingsley P., 1995, Probability and measure, VThird

[9]

Brockwell P. J., 1991, TIME SERIES THEORY M

[10] APPLICATION OF LEAST SQUARES REGRESSION TO RELATIONSHIPS CONTAINING AUTOCORRELATED ERROR TERMS [J].

COCHRANE, D ;

ORCUTT, GH .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1949, 44 (245) :32-61

← 1 2 3 4 →