CONSISTENT AND ASYMPTOTICALLY NORMAL ESTIMATORS FOR PERIODIC BILINEAR MODELS
Abdelouahab Bibi, Antony Gautier · Bulletin of the Korean Mathematical Society · 2010
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.