Adaptive Estimation of Causal Periodic Autoregressive Model

DOI10.1080/03610910903061006zbMath1191.62145OpenAlexW2025206734MaRDI QIDQ3652708

Mohamed Bentarzi, M. Merzougui, Hafida Guerbyenne

Publication date: 16 December 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910903061006

zbMATH Keywords

local asymptotic normalityadaptive estimationasymptotic linearitycentral sequenceperiodic autoregressive modellocally asymptotic minimax estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (8)

Efficient estimation in (PINAR(1)) model: semiparametric case ⋮ Local asymptotic normality for a periodically time varying long memory parameter ⋮ Efficient estimation in periodic INAR(1) model: parametric case ⋮ Adaptive test for periodicity in restrictive EXPAR(p) models ⋮ Locally asymptotically efficient estimation for parametric PINAR(p) models ⋮ Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model ⋮ Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes ⋮ Test for periodicity in restrictive EXPAR models

Cites Work

• Unnamed Item
• Unnamed Item
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• On adaptive estimation
• Model-building problem of periodically correlated \(m\)-variate moving average processes
• Efficient estimation in nonlinear autoregressive time-series models
• On adaptive estimation in stationary ARMA processes
• Mixture periodic autoregressive time series models
• On estimation and adaptive estimation for locally asymptotically normal families
• PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
• UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION

This page was built for publication: Adaptive Estimation of Causal Periodic Autoregressive Model