Asymptotic properties of time domain gaussian estimators

DOI10.2307/1426939MaRDI QIDQ4153392zbMATHOpenAlexFDO

Authors

Publication date 1978

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1426939

Mathematics Subject Classification ID

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

Cited in

(8)

• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
• Nonlinearity tests for bilinear systems
• Stable spectral factorization with applications to the estimation of time series models
• Local and global identification and strong consistency in time series models
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models
• On iterative procedures of asymptotic inference
• ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS

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