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
We consider the periodic generalized autoregressive conditional heteroskedasticity(P-GARCH) process and propose a robust estimator by composite quantile regression. We study some useful properties about the P-GARCH mo...We consider the periodic generalized autoregressive conditional heteroskedasticity(P-GARCH) process and propose a robust estimator by composite quantile regression. We study some useful properties about the P-GARCH model. Under some mild conditions, we establish the asymptotic results of proposed estimator.The Monte Carlo simulation is presented to assess the performance of proposed estimator. Numerical study results show that our proposed estimation outperforms other existing methods for heavy tailed distributions.The proposed methodology is also illustrated by Va R on stock price data.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.
基金supported by National Natural Science Foundation of China(Grant No.11371354)Key Laboratory of Random Complex Structures and Data Science+2 种基金Chinese Academy of Sciences(Grant No.2008DP173182)National Center for Mathematics and Interdisciplinary SciencesChinese Academy of Sciences
文摘We consider the periodic generalized autoregressive conditional heteroskedasticity(P-GARCH) process and propose a robust estimator by composite quantile regression. We study some useful properties about the P-GARCH model. Under some mild conditions, we establish the asymptotic results of proposed estimator.The Monte Carlo simulation is presented to assess the performance of proposed estimator. Numerical study results show that our proposed estimation outperforms other existing methods for heavy tailed distributions.The proposed methodology is also illustrated by Va R on stock price data.
