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

被引：11
作者：
Abdelouahab Bibi
Christian Francq
机构：
[1] Université Mentouri de Constantine,Département de Mathématiques
[2] Université du Littoral-Côte d’Opale,LMPA Joseph Liouville, Centre Universitaire de la Mi
来源：
Annals of the Institute of Statistical Mathematics | 2003年 / 55卷 / 1期
关键词：
Time varying models; nonstationary processes; quasi-generalized least squares estimator; consistency; asymptotic normality;
D O I：
10.1007/BF02530484
中图分类号：
学科分类号：
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.
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页码：41 / 68
页数：27
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