Weighted least absolute deviations estimation for periodic ARMA models

doi:10.1007/s10114-015-4372-8

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 应用数学研究所

	Weighted least absolute deviations estimation for periodic ARMA models
	Pan, Baoguo 1,2; Chen, Min2,3 ; Wang, Yan 2
刊名	ACTA MATHEMATICA SINICA-ENGLISH SERIES
	2015-08-01
卷号	31 期号:8 页码:1273-1288
关键词	Periodic ARMA WLADE asymptotic normality strict periodic stationarity periodic ergodicity
ISSN号	1439-8516
DOI	10.1007/s10114-015-4372-8
英文摘要	This paper investigates the weighted least absolute deviations estimator (WLADE) for causal and invertible periodic autoregressive moving average (PARMA) models. Asymptotic normality of the estimator is derived under a fractional moment condition. A simulation study is given to assess the performance of the proposed WLADE.
资助项目	National Natural Science Foundation of China[10990012] ; National Natural Science Foundation of China[11021161]
WOS研究方向	Mathematics
语种	英语
出版者	SPRINGER HEIDELBERG
WOS记录号	WOS:000357641800005
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/20351]
专题	应用数学研究所
通讯作者	Pan, Baoguo
作者单位	1.Hubei Engn Univ, Sch Math & Stat, Xiaogan 432000, Peoples R China 2.Univ Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Capital Univ Econ & Finance, Sch Stat, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Pan, Baoguo,Chen, Min,Wang, Yan. Weighted least absolute deviations estimation for periodic ARMA models[J]. ACTA MATHEMATICA SINICA-ENGLISH SERIES,2015,31(8):1273-1288.
APA	Pan, Baoguo,Chen, Min,&Wang, Yan.(2015).Weighted least absolute deviations estimation for periodic ARMA models.ACTA MATHEMATICA SINICA-ENGLISH SERIES,31(8),1273-1288.
MLA	Pan, Baoguo,et al."Weighted least absolute deviations estimation for periodic ARMA models".ACTA MATHEMATICA SINICA-ENGLISH SERIES 31.8(2015):1273-1288.