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LEAST SQUARES ESTIMATION IN PERIODIC RESTRICTED EXPAR(P) MODELS
Author(s) : M. Merzougui and S. Becila
Pages : [275] - [291]
Received : January 29, 2018; Revised September 29, 2018
Pages : [275] - [291]
Received : January 29, 2018; Revised September 29, 2018
Abstract
A generalisation of the periodic restricted exponential autoregressive model (PEXPAR(1)) to order p is introduced. The least squares method is used for estimating the parameters. The asymptotic properties of estimates for strictly stationary restricted PEXPAR are derived. A small simulation study is carried out to check the asymptotic properties.
Keywords
nonlinear time series, periodic restricted exponential autoregressive model, least squares estimation, asymptotic properties.