EFFICIENT ESTIMATION FOR PERIODIC AUTOREGRESSIVE COEFFICIENTS VIA RESIDUALS

L. Tang and Q. Shao

Journal of Time Series Analysis, 2014, vol. 35, issue 4, 378-389

Abstract: type="main" xml:id="jtsa12070-abs-0001"> A two-step estimation method is proposed for periodic autoregressive parameters via residuals when the observations contain trend and periodic autoregressive time series. The oracle efficiency of the proposed Yule–Walker-type estimator is established. The performance is illustrated by simulation studies and real data analysis.

Date: 2014
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