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

Univ. Mentouri de Constantine
Université du Littoral Côte d'Opale

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	41-68
Nombre de pages	28
journal	Annals of the Institute of Statistical Mathematics
Volume	55
Numéro de publication	1
Les DOIs	https://doi.org/10.1023/A:1024674428698
état	Publié - 21 juil. 2003
Modification externe	Oui

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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",

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T1 - Consistent and asymptotically normal estimators for cyclically time-dependent linear models

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

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

Résumé

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