A note on a method to compute the asymptotic Distribution of the sample second order moments of dynamic linear normal variables

DOI10.1080/03610928908829912MaRDI QIDQ3473013zbMATH OpenOpenAlexFDO

Authors Bernadette Govaerts

Publication date 1989

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928908829912

zbMATH Keywords

asymptotic distributiondynamic linear normal distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites work

• An Algorithm for Computing Reducing Subspaces by Block Diagonalization
• An Algorithm for Numerical Computation of the Jordan Normal Form of a Complex Matrix
• An Algorithmic Derivation of the Jordan Canonical Form

Cited in

(2)

• Encompassing in stationary linear dynamic models
• A dynamic method of moments

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