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Efficient Estimation For Periodic Autoregressive Coefficients Via Residuals

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  • L. Tang
  • Q. Shao

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.

Suggested Citation

  • L. Tang & Q. Shao, 2014. "Efficient Estimation For Periodic Autoregressive Coefficients Via Residuals," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 378-389, July.
    • Handle: RePEc:bla:jtsera:v:35:y:2014:i:4:p:378-389
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    File URL: http://hdl.handle.net/10.1111/jtsa.12070
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    References listed on IDEAS

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