A proof of asymptotic normality for some VARX models

DOI10.1007/BF01894330zbMath0833.62082MaRDI QIDQ1902123

Claude Deniau, Mohamed Boutahar

Publication date: 14 November 1995

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176614

zbMATH Keywords

asymptotic normalityspectral measurepersistent excitationconditional Lindeberg conditionmartingale differenceleast squares estimatesdeterministic second order input signalstable multivariate autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items

On the asymptotic distribution of residual autocovariances in VARX models with applications

Cites Work

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