Large sample properties of parameter least squares estimates for time-varying arma models
This paper considers estimation of ARMA models with time-varying coefficients. The ARMA parameters belong to d different regimes. The changes in regime occur at irregular time intervals. Consistency and asymptotic normality of least squares and quasi-generalized least squares estimators are shown. Copyright 2004 Blackwell Publishing Ltd.
Year of publication: |
2004
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Authors: | Francq, Christian ; Gautier, Antony |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 25.2004, 5, p. 765-783
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Publisher: |
Wiley Blackwell |
Saved in:
freely available
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