Estimation in periodic restricted EXPAR(1) models

20176 citationsJournal Article

Authors

Abstract

This article is devoted to study the problem of estimation in the periodic restricted exponential autoregressive EXPAR(1) models. The estimation procedure that is used is the least-square method. Simulation studies are carried out in order to check the asymptotic properties. An application to monthly flow data for the Fraser River in British Columbia is included.

Topics & Keywords

Hydrology and Drought Analysis Financial Risk and Volatility Modeling Statistical Methods and Inference

UN Sustainable Development Goals

Life below water

Publication Details

Published in: Communications in Statistics - Simulation and Computation

Volume 47, Issue 10, pp. 2819-2828

DOI: 10.1080/03610918.2017.1361975

Field-Weighted Citation Impact: 0.66