Page 1

Displaying 1 – 10 of 10

Showing per page

QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations

Abdelouahab Bibi, Ahmed Ghezal (2018)

Kybernetika

This paper develops an asymptotic inference theory for bilinear B L time series models with periodic coefficients P B L for short . 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 Q M L E under very mild moment condition for the innovation errors. As a result, it is shown that whenever the model is...

Quadratic estimation from non-independent uncertain observations with coloured noise.

S. Nakamori, R. Caballero, A. Hermoso, J. Jiménez, J. Linares (2004)

Extracta Mathematicae

Recursive least-squares quadratic filtering and fixed-point smoothing algorithms for signal estimation from uncertain observations are derived when the uncertainty is modeled by not necessarily independent variables and the observations contain white plus coloured noise. The proposed estimators do not require the knowledge of the state-space of the model generating the signal, but only the moments, up to the fourth one, of the processes involved, along with the probability that the signal exists...

Quasi-Likelihood Estimation for Ornstein-Uhlenbeck Diffusion Observed at Random Time Points

Adès, Michel, Dion, Jean-Pierre, MacGibbon, Brenda (2005)

Serdica Mathematical Journal

2000 Mathematics Subject Classification: 60J60, 62M99.In this paper, we study the quasi-likelihood estimator of the drift parameter θ in the Ornstein-Uhlenbeck diffusion process, when the process is observed at random time points, which are assumed to be unobservable. These time points are arrival times of a Poisson process with known rate. The asymptotic properties of the quasi-likelihood estimator (QLE) of θ, as well as those of its approximations are also elucidated. An extensive simulation study...

Currently displaying 1 – 10 of 10

Page 1