Parameter Estimation for Periodically Stationary Time Series
The innovations algorithm can be used to obtain parameter estimates for periodically stationary time series models. In this paper, we compute the asymptotic distribution for these estimates in the case, where the innovations have a finite fourth moment. These asymptotic results are useful to determine which model parameters are significant. In the process, we also develop asymptotics for the Yule-Walker estimates. Copyright 2005 Blackwell Publishing Ltd.
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Volume (Year): 26 (2005)
Issue (Month): 4 (07)
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