ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS (Q4864583)
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scientific article; zbMATH DE number 846069
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| English | ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS |
scientific article; zbMATH DE number 846069 |
Statements
ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS (English)
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23 June 1996
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echelon canonical form
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empirical evidence
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numerical implementation
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Gaussian estimation schemes
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vector autoregressive moving-average models
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asymptotic convergence
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generalized least squares estimator
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simulation results
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0.8327962756156921
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0.8029123544692993
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0.7797470688819885
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