Estimation of vector Armax models
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Publication:1145456
DOI10.1016/0047-259X(80)90050-0zbMath0445.62098MaRDI QIDQ1145456
Manfred Deistler, E. J. Hannan, William T. M. Dunsmuir
Publication date: 1980
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0047-259x(80)90050-0
maximum likelihood estimation; strong law; central limit theorem; analytic manifold; martingale; Kronecker invariants; McMillan degree; dynamical indices; vector ARMAX system
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
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