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Weighted Least Absolute Deviations Estimation for Periodic ARMA Models 被引量：1

Weighted Least Absolute Deviations Estimation for Periodic ARMA Models
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摘要 This paper investigates the weighted least absolute deviations estimator（WLADE） for causal and invertible periodic autoregressive moving average（PARMA） models. Asymptotic normality of the estimator is derived under a fractional moment condition. A simulation study is given to assess the performance of the proposed WLADE. This paper investigates the weighted least absolute deviations estimator（WLADE） for causal and invertible periodic autoregressive moving average（PARMA） models. Asymptotic normality of the estimator is derived under a fractional moment condition. A simulation study is given to assess the performance of the proposed WLADE.
作者 Baoguo PAN Min CHEN Yan WANG
机构地区 School of Mathematics and Statistics Academy of Mathematics and Systems Science School of Statistics
出处 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2015年第8期1273-1288,共16页 数学学报（英文版）
基金 Supported by National Natural Science Foundation of China(Grant Nos.10990012 and 11021161)
关键词 Periodic ARMA WLADE asymptotic normality strict periodic stationarity periodic ergodicity Periodic ARMA,WLADE,asymptotic normality,strict periodic stationarity,periodic ergodicity
分类号 O212.1 [理学—概率论与数理统计]
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Acta Mathematica Sinica,English Series
2015年 第8期

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