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Yule–Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality

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  • Abdelouahab Bibi
  • Abdelhakim Aknouche

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  • Abdelouahab Bibi & Abdelhakim Aknouche, 2010. "Yule–Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(1), pages 1-30, March.
    • Handle: RePEc:spr:stmapp:v:19:y:2010:i:1:p:1-30
    DOI: 10.1007/s10260-008-0110-z
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    References listed on IDEAS

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    1. Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826, Elsevier.
    2. I. V. Basawa & Robert Lund, 2001. "Large Sample Properties of Parameter Estimates for Periodic ARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(6), pages 651-663, November.
    3. Peter A. W. Lewis & Bonnie K. Ray, 2002. "Nonlinear modelling of periodic threshold autoregressions using Tsmars," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 459-471, July.
    4. S. I. Akamanam & M. Bhaskara Rao & K. Subramanyam, 1986. "On The Ergodicity Of Bilinear Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 157-163, May.
    5. Francesco Giordano & Cosimo Vitale, 2003. "CLS asymptotic variance for a particular relevant bilinear time series model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 12(2), pages 169-185, December.
    6. M. M. Gabr & T. Subba Rao, 1981. "The Estimation And Prediction Of Subset Bilinear Time Series Models With Applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 2(3), pages 155-171, May.
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    Cited by:

    1. Aknouche, Abdelhakim, 2024. "Periodically homogeneous Markov chains: The discrete state space case," MPRA Paper 122287, University Library of Munich, Germany.

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