Parameter Estimation for Periodically Stationary Time Series

The innovations algorithm can be used to obtain parameter estimates for periodically stationary time series models. In this paper, we compute the asymptotic distribution for these estimates in the case, where the innovations have a finite fourth moment. These asymptotic results are useful to determine which model parameters are significant. In the process, we also develop asymptotics for the Yule-Walker estimates

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Year of publication:	2005
Authors:	Anderson, Paul L. ; Meerschaert, Mark M.
Publisher:	[S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (30 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014064458