EFFICIENT ESTIMATION FOR PERIODIC AUTOREGRESSIVE COEFFICIENTS VIA RESIDUALS
type="main" xml:id="jtsa12070-abs-0001">A two-step estimation method is proposed for periodic autoregressive parameters via residuals when the observations contain trend and periodic autoregressive time series. The oracle efficiency of the proposed Yule–Walker-type estimator is established. The performance is illustrated by simulation studies and real data analysis.
Year of publication: |
2014
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Authors: | Tang, L. ; Shao, Q. |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 35.2014, 4, p. 378-389
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Publisher: |
Wiley Blackwell |
Saved in:
Online Resource
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