Robust Estimation For Periodic Autoregressive Time Series

Q. Shao

Journal of Time Series Analysis, 2008, vol. 29, issue 2, 251-263

Abstract: Abstract. A robust estimation procedure for periodic autoregressive (PAR) time series is introduced. The asymptotic properties and the asymptotic relative efficiency are discussed by the estimating equation approach. The performance of the robust estimators for PAR time‐series models with order one is illustrated by a simulation study. The technique is applied to a real data analysis.

Date: 2008
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https://doi.org/10.1111/j.1467-9892.2007.00555.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:2:p:251-263

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