On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
DOI10.1006/JMVA.1994.1064zbMATH Open0814.62054OpenAlexW2002485731MaRDI QIDQ1340296FDOQ1340296
Authors: D. S. Poskitt, M. O. Salau 
Publication date: 18 June 1995
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jmva.1994.1064
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central limit theoremnumerical examplesasymptotic relative efficiencyleast squares estimatorsKronecker indicesechelon canonical formvector ARMA modelsGaussian estimatorvector time series models
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cited In (8)
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- ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
- Robust Estimation For Periodic Autoregressive Time Series
- Whittle parameter estimation for vector ARMA models with heavy-tailed noises
- A Note on the Specification and Estimation of ARMAX Systems
- On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models
- Asymptotic efficiency of model selection criteria: the nonzero mean gaussian ar(∞) case
- THIRD ORDER ASYMPTOTIC PROPERTIES OF BLUE AND LSE FOR A REGRESSION MODEL WITH ARMA RESIDUAL
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