Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models

DOI10.1111/j.1467-9892.2011.00728.xzbMath1273.62209OpenAlexW2170668990MaRDI QIDQ2851994

Abdessamad Saidi, Roch Roy, Christian Francq

Publication date: 4 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00728.x

zbMATH Keywords

seasonalityasymptotic normalitystrong mixingstrong consistencyweighted least squaresweak periodic autoregressive moving average modelsweak periodic white noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (9)

Goodness-of-fit tests for SPARMA models with dependent error terms ⋮ On periodic time-varying bilinear processes: structure and asymptotic inference ⋮ QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations ⋮ Estimating weak periodic vector autoregressive time series ⋮ Portmanteau tests for periodic ARMA models with dependent errors ⋮ Weighted least absolute deviations estimation for periodic ARMA models ⋮ Explosive strong periodic autoregression with multiplicity one ⋮ Estimation for periodic ARMA models with unspecified noises ⋮ Periodic autoregressive conditional duration

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