Estimation of vector Armax models

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)

zbMATH Keywords

maximum likelihood estimation; strong law; central limit theorem; analytic manifold; martingale; Kronecker invariants; McMillan degree; dynamical indices; vector ARMAX system

Mathematics Subject Classification ID

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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