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In this paper, a distribution free approach to the parameter estimation of a simple bilinear model with periodic coefficients is presented. The proposed method relies on minimum distance estimator based on the autocovariances of the squared process. Consistency and asymptotic normality of the estimator, as well as hypotheses testing, are derived. Numerical experiments on simulated data sets are presented to highlight the theoretical results.
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참고문헌 (9)
참고문헌 신청
A. Bibi / 2003 / On the covariance structure of time varying bilinear models / Stochastic Anal. Appl. 21 (1) : 25 ~ 60
A. Bibi / 2004 / Estimation of some bilinear time series models with time varying coefficients / Stochastic Anal. Appl. 22 (2) : 355 ~ 376
A. Bibi / 2006 / Proprietes dans L2 et estimation des processus purement bilineaires et strictement superdiagonaux a coefficients periodiques / Canad. J. Statist. 34 (1) : 13
A. Bibi / 2010 / Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality / Stat. Methods Appl. 19 : 1 ~ 30
A. Gautier / 2006 / Asymptotic inefficiency of mean-correction on parameter estimation for a periodic first-order autoregressive model / Comm. Statist. Theory Methods 35 (10)
A. Bibi / 2004 / Estimation of some bilinear time series models with time varying coefficients / Stochastic Anal. Appl. 22 (2) : 355 ~ 376
A. Bibi / 2006 / Proprietes dans L2 et estimation des processus purement bilineaires et strictement superdiagonaux a coefficients periodiques / Canad. J. Statist. 34 (1) : 13
A. Bibi / 2010 / Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality / Stat. Methods Appl. 19 : 1 ~ 30
A. Gautier / 2006 / Asymptotic inefficiency of mean-correction on parameter estimation for a periodic first-order autoregressive model / Comm. Statist. Theory Methods 35 (10)
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