Consistent and asymptotically normal estimators for cyclically time-dependent linear models

Abdelouahab Bibi; Christian Francq

doi:10.1023/A:1024674428698

Consistent and asymptotically normal estimators for cyclically time-dependent linear models

Abdelouahab Bibi
, Christian Francq

Research output: Contribution to journal › Article › peer-review

Abstract

We consider a general class of time series linear models where parameters switch according to a known fixed calendar. These parameters are estimated by means of quasi-generalized least squares estimators. Conditions for strong consistency and asymptotic normality are given. Applications to cyclical ARMA models with non constant periods are considered.

Original language	English
Pages (from-to)	41-68
Number of pages	28
Journal	Annals of the Institute of Statistical Mathematics
Volume	55
Issue number	1
DOIs	https://doi.org/10.1023/A:1024674428698
Publication status	Published - 21 Jul 2003
Externally published	Yes

Keywords

Asymptotic normality
Consistency
Nonstationary processes
Quasi-generalized least squares estimator
Time varying models

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10.1023/A:1024674428698

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title = "Consistent and asymptotically normal estimators for cyclically time-dependent linear models",

abstract = "We consider a general class of time series linear models where parameters switch according to a known fixed calendar. These parameters are estimated by means of quasi-generalized least squares estimators. Conditions for strong consistency and asymptotic normality are given. Applications to cyclical ARMA models with non constant periods are considered.",

keywords = "Asymptotic normality, Consistency, Nonstationary processes, Quasi-generalized least squares estimator, Time varying models",

author = "Abdelouahab Bibi and Christian Francq",

year = "2003",

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AU - Bibi, Abdelouahab

AU - Francq, Christian

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AB - We consider a general class of time series linear models where parameters switch according to a known fixed calendar. These parameters are estimated by means of quasi-generalized least squares estimators. Conditions for strong consistency and asymptotic normality are given. Applications to cyclical ARMA models with non constant periods are considered.

KW - Asymptotic normality

KW - Consistency

KW - Nonstationary processes

KW - Quasi-generalized least squares estimator

KW - Time varying models

U2 - 10.1023/A:1024674428698

DO - 10.1023/A:1024674428698

M3 - Article

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SN - 0020-3157

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EP - 68

JO - Annals of the Institute of Statistical Mathematics

JF - Annals of the Institute of Statistical Mathematics

IS - 1

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Consistent and asymptotically normal estimators for cyclically time-dependent linear models

Abstract

Keywords

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