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 unde...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.展开更多
基金Supported by National Natural Science Foundation of China(Grant Nos.10990012 and 11021161)
文摘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.
