Abstract
We consider a general class of time series linear models where parameters switch according to a known fixed calendar. These parameters are estimated by means of quasi-generalized least squares estimators. conditions for strong consistency and asymptotic normality are given. Applications to cyclical ARMA models with non constant periods are considered.
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Bibi, A., Francq, C. Consistent and asymptotically normal estimators for cyclically time-dependent linear models. Ann Inst Stat Math 55, 41–68 (2003). https://doi.org/10.1007/BF02530484
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DOI: https://doi.org/10.1007/BF02530484