Efficient Estimation for Periodic Autoregressive Coefficients Via Residuals PDF Download

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Efficient Estimation for Periodic Autoregressive Coefficients Via Residuals

Efficient Estimation for Periodic Autoregressive Coefficients Via Residuals PDF Author: L. Tang
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Languages : en
Pages : 0

Book Description
A two-step estimation method is proposed for periodic autoregressive parameters via residuals when the observations contain trend and periodic autoregressive time series. The oracle efficiency of the proposed Yule-Walker-type estimator is established. The performance is illustrated by simulation studies and real data analysis.
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