|
|||||
|
|
Consistent and asymptotically normal estimators for cyclically time-dependent linear models |
|
| Authors: | Abdelouahab Bibi Christian Francq |
| Affiliation: | 1.Département de Mathématiques,Université Mentouri de Constantine,Constantine,Algérie;2.LMPA Joseph Liouville, Centre Universitaire de la Mi-Voix,Université du Littoral-C?te d’Opale,Calais Cedex,France |
| Abstract: | We consider a general class of time series linear models where parameters switch according to a known fixed calendar. These parameters are estimated by means of quasi-generalized least squares estimators. conditions for strong consistency and asymptotic normality are given. Applications to cyclical ARMA models with non constant periods are considered. |
| Keywords: | Time varying models nonstationary processes quasi-generalized least squares estimator consistency asymptotic normality |
| 本文献已被 SpringerLink 等数据库收录！ | |