Large Sample Properties of Parameter Estimates for Periodic ARMA Models

DOI10.1111/1467-9892.00246zbMath0984.62062MaRDI QIDQ2784953

Robert B. Lund, Ishwar V. Basawa

Publication date: 24 April 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00246

zbMATH Keywords

asymptotic normality; weighted least squares estimator; multivariate ARMA processes

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

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