SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES (Q3746733): Difference between revisions
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| Property / cites work: Explicit solutions of the discrete-time Lyapunov matrix equation and Kalman-Yakubovich equations / rank | |||
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| Property / cites work: Evaluation of the covariance matrix for the maximum likelihood estimator of a Gaussian autoregressive-moving average process / rank | |||
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Latest revision as of 17:55, 17 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES |
scientific article |
Statements
SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES (English)
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1987
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asymptotic variances
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sample covariances
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autoregressive moving average processes
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state-space representations
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matrix Lyapunov equation theory
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closed-form expressions
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Cramér-Rao bounds
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ARMA
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asymptotically efficient
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