Estimation for periodic ARMA models with unspecified noises |
| |
| Authors: | Baoguo Pan |
| |
| Institution: | School of Mathematics and Statistics, Hubei Engineering University, Xiaogan, China |
| |
| Abstract: | In this paper we study the weighted least absolute deviations estimator (WLADE) for Periodic ARMA (PARMA) models with unspecified noises, asymptotic normality of the estimator is derived. The random weighting approach is proposed to estimate the asymptotic covariance matrices of WLADE. Simulation study is carried out to examine the performance of the proposed procedure. |
| |
| Keywords: | PARMA WLADE asymptotic normality random weighting approach |
|
|
