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Large Sample Properties of Parameter Estimates for Periodic ARMA Models

Citations

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Cited by:

  1. Roy, Roch & Saidi, Abdessamad, 2008. "Aggregation and systematic sampling of periodic ARMA processes," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4287-4304, May.
  2. Jiajie Kong & Robert Lund, 2023. "Seasonal count time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 93-124, January.
  3. repec:dau:papers:123456789/5529 is not listed on IDEAS
  4. Shao, Q., 2006. "Mixture periodic autoregressive time series models," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 609-618, March.
  5. repec:dau:papers:123456789/2285 is not listed on IDEAS
  6. Alessandra Amendola & Christian Francq, 2009. "Concepts of and tools for Nonlinear Time-Series Modelling," Post-Print hal-05417886, HAL.
  7. Francq, Christian & Gautier, Antony, 2004. "Estimation of time-varying ARMA models with Markovian changes in regime," Statistics & Probability Letters, Elsevier, vol. 70(4), pages 243-251, December.
  8. Yacouba Boubacar Maïnassara & Landy Rabehasaina, 2020. "Estimation of weak ARMA models with regime changes," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 1-52, April.
  9. Shao, Q. & Ni, P.P., 2004. "Least-squares estimation and ANOVA for periodic autoregressive time series," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 287-297, September.
  10. Y. Boubacar Maïnassara & A. Ilmi Amir, 2024. "Portmanteau tests for periodic ARMA models with dependent errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(2), pages 164-188, March.
  11. Yorghos Tripodis & Jeremy Penzer, 2009. "Modelling time series with season-dependent autocorrelation structure," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 559-574.
  12. Abdelouahab Bibi & Christian Francq, 2003. "Consistent and asymptotically normal estimators for cyclically time-dependent linear models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(1), pages 41-68, March.
  13. Anderson, Paul L. & Kavalieris, Laimonis & Meerschaert, Mark M., 2008. "Innovations algorithm asymptotics for periodically stationary time series with heavy tails," Journal of Multivariate Analysis, Elsevier, vol. 99(1), pages 94-116, January.
  14. Abdelkamel Alj & Christophe Ley & Guy Melard, 2015. "Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I," Working Papers ECARES ECARES 2015-21, ULB -- Universite Libre de Bruxelles.
  15. A.S.M. Arroyo & A. de Juan Fern¨¢ndez, 2014. "Split-then-Combine Method for out-of-sample Combinations of Forecasts," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 3(1), pages 19-37, April.
  16. T. Manouchehri & A. R. Nematollahi, 2019. "Periodic autoregressive models with closed skew-normal innovations," Computational Statistics, Springer, vol. 34(3), pages 1183-1213, September.
  17. 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.
  18. Bibi, Abdelouahab & Lescheb, Ines, 2010. "Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models," Statistics & Probability Letters, Elsevier, vol. 80(19-20), pages 1532-1542, October.
  19. Christian Francq & Antony Gautier, 2004. "Large sample properties of parameter least squares estimates for time‐varying arma models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 765-783, September.
  20. Aleksandra Grzesiek & Prashant Giri & S. Sundar & Agnieszka WyŁomańska, 2020. "Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 785-807, November.
  21. Amaral, Luiz Felipe & Souza, Reinaldo Castro & Stevenson, Maxwell, 2008. "A smooth transition periodic autoregressive (STPAR) model for short-term load forecasting," International Journal of Forecasting, Elsevier, vol. 24(4), pages 603-615.
  22. Abdelouahab Bibi & Abdelhakim Aknouche, 2010. "Yule–Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(1), pages 1-30, March.
  23. Caporin, Massimiliano & Preś, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.
  24. Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
  25. Basawa, I. V. & Lund, Robert & Shao, Qin, 2004. "First-order seasonal autoregressive processes with periodically varying parameters," Statistics & Probability Letters, Elsevier, vol. 67(4), pages 299-306, May.
  26. Bibi, Abdelouahab & Lescheb, Ines, 2014. "A note on integrated periodic GARCH processes," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 121-124.
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