LS estimation of periodic autoregressive models with non-Gaussian errors: a simulation study

DOI10.1080/00949650410001687226zbMath1059.62096OpenAlexW2143708071MaRDI QIDQ4670719

Abdullah A. Smadi

Publication date: 22 April 2005

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650410001687226

zbMATH Keywords

tablesleast squares estimationMonte-Carlo simulationconditional least squaresperiodic autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (2)

Weighted least absolute deviations estimation for periodic ARMA models ⋮ Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models

Cites Work

• On periodic and multiple autoregressions

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