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On the estimation of coefficients of a simultaneous linear explosive model of higher orders with moving average errors generating a pair of time series |
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| Authors: | G. Gopal K. Suresh Chandra |
| Affiliation: | 1. Department of Statistics, University of Madras, 600 005, Madras, INDIA |
| Abstract: | In this paper, estimation of coefficients of simultaneous linear partially explosive model of higher orders with moving average errors is considered. It has been shown that the above model can be decomposed into a purely explosive model and an autoregressive model. A two stage estimation, procedure is carried out towards proposing estimators for the partially explosive model. The asymptotic properties of these estimators are also studied. |
| Keywords: | KeywordHeading" > and Phrases Partially Explosive Model Autoregressive Model Moving Average Errors Yule-Walker Type Estimators |
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