Francq, Christian; Roy, Roch; Saidi, Abdessamad - Volkswirtschaftliche Fakultät, … - 2011
The aim of this work is to investigate the asymptotic properties of weighted least squares (WLS) estimation for causal and invertible periodic autoregressive moving average (PARMA) models with uncorrelated but dependent errors. Under mild assumptions, it is shown that the WLS estimators of PARMA...