Author： Bentarzi Mohamed Aknouche Abdelhakim
Publisher： Taylor & Francis Ltd
ISSN： 0361-0926
Source： Communications in Statistics: Theory and Methods, Vol.35, Iss.8, 2006-01, pp. : 1495-1512
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Abstract
This paper develops an on-line estimation algorithm for periodic autoregressive models ( PAR ). Indeed, we provide an adaptation of the well known recursive least squares algorithm ( RLS ), which has been successfully applied to classical autoregressive models ( AR ), to deal with PAR models. The obtained estimators are shown to be asymptotically efficient under mild conditions. Moreover, the performance of the periodic least squares algorithm ( PRLS ) is assessed via an intensive simulation study.
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