Estimation for periodic ARMA models with unspecified noises

Baoguo Pan

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 12, 2948-2961

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.

Date: 2019
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DOI: 10.1080/03610926.2018.1473597

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