Robust Estimation For Periodic Autoregressive Time Series

DOI10.1111/j.1467-9892.2007.00555.xzbMath1164.62055OpenAlexW2097219816MaRDI QIDQ3608197

Qin Shao

Publication date: 28 February 2009

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00555.x

zbMATH Keywords

asymptotic relative efficiencyestimating equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites Work

• On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
• Large Sample Properties of Parameter Estimates for Periodic ARMA Models
• Robust tests for time series with an application to first-order autoregressive processes
• Characterization of cyclostationary random signal processes
• Robust Estimation of the First-Order Autoregressive Parameter
• Periodic Time Series Models
• Robust Estimation of a Location Parameter
• Unnamed Item

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