THE ASYMPTOTIC EFFICIENCY OF A LINEAR PROCEDURE OF ESTIMATION FOR ARMA MODELS

DOI10.1111/j.1467-9892.1985.tb00397.xzbMath0566.62075OpenAlexW2023488203MaRDI QIDQ3681785

Zhao-Guo Chen

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1985.tb00397.x

zbMATH Keywords

information matrixasymptotic efficiencystrong consistencyARMA modelsmartingale differencelinear procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

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