Bull. Korean Math. Soc. 2010; 47(5): 889-905
Printed September 1, 2010
https://doi.org/10.4134/BKMS.2010.47.5.889
Copyright © The Korean Mathematical Society.
Abdelouahab Bibi and Antony Gautier
Universit\'e Mentouri, Universit\'e Lille 3
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.
Keywords: bilinear time series, periodic coefficients, minimum distance estimator, asymptotic normality, hypotheses testing
MSC numbers: 62M10, 91B84
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