Robust Estimation For Periodic Autoregressive Time Series

A robust estimation procedure for periodic autoregressive (PAR) time series is introduced. The asymptotic properties and the asymptotic relative efficiency are discussed by the estimating equation approach. The performance of the robust estimators for PAR time-series models with order one is illustrated by a simulation study. The technique is applied to a real data analysis. Copyright 2007 The Author

MoreLess

Year of publication:	2008
Authors:	Shao, Q.
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 29.2008, 2, p. 251-263
Publisher:	Wiley Blackwell

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005260676