Weighted Least Absolute Deviations Estimation for Periodic ARMA Models  

作　　者：Baoguo PAN Min CHEN Yan WANG 

机构地区：[1]School of Mathematics and Statistics, Hubei Engineering University [2]Academy of Mathematics and Systems Science, University of Chinese Academy of Sciences [3]School of Statistics, Capital University of Economics and Finance

出　　处：《Acta Mathematica Sinica,English Series》2015年第8期1273-1288,共16页数学学报（英文版）

基　　金：Supported by National Natural Science Foundation of China(Grant Nos.10990012 and 11021161)

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.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.

关 键 词：Periodic ARMA WLADE asymptotic normality strict periodic stationarity periodic ergodicity 

分 类 号：O212.1[理学—概率论与数理统计]