SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES

DOI10.1111/j.1467-9892.1987.tb00433.xzbMath0607.62107MaRDI QIDQ3746733

Boaz Porat

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00433.x

zbMATH Keywords

closed-form expressions; ARMA; asymptotic variances; asymptotically efficient; Cramér-Rao bounds; autoregressive moving average processes; state-space representations; sample covariances; matrix Lyapunov equation theory

Mathematics Subject Classification ID

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

62M09: Non-Markovian processes: estimation

Related Items

An efficient linear method for ARMA spectral estimation, ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA, Capon estimation of covariance sequences, Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects, On the asymptotic properties of multivariate sample autocovariances, Covariances Estimation for Long-Memory Processes

Cites Work

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• Evaluation of the covariance matrix for the maximum likelihood estimator of a Gaussian autoregressive-moving average process
• Explicit solutions of the discrete-time Lyapunov matrix equation and Kalman-Yakubovich equations