Tang, L.; Shao, Q. - In: Journal of Time Series Analysis 35 (2014) 4, pp. 378-389
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...