QML estimators in linear regression models with functional coefficient autoregressive processes.
QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations
This paper develops an asymptotic inference theory for bilinear time series models with periodic coefficients . For this purpose, we establish firstly a necessary and sufficient conditions for such models to have a unique stationary and ergodic solutions (in periodic sense). Secondly, we examine the consistency and the asymptotic normality of the quasi-maximum likelihood estimator under very mild moment condition for the innovation errors. As a result, it is shown that whenever the model is...
Quantification of prior knowledge about global characteristics of linear normal model