Asymptotic properties of weighted least squares estimation in weak parma models
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- Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
References listed on IDEAS
- Christian Francq & Jean-Michel Zakoïan, 2009.
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- Abdelouahab Bibi & Ahmed Ghezal, 2016. "On periodic time-varying bilinear processes: structure and asymptotic inference," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 25(3), pages 395-420, August.
More about this item
KeywordsWeak periodic autoregressive moving average models; Seasonality; Weighted least squares; Asymptotic normality; Strong consistency; Weak periodic white noise; Strong mixing.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-19 (All new papers)
- NEP-CIS-2011-02-19 (Confederation of Independent States)
- NEP-ECM-2011-02-19 (Econometrics)
- NEP-UPT-2011-02-19 (Utility Models & Prospect Theory)
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