Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models

DOI10.1080/03610919708813373MaRDI QIDQ4387651zbMATH OpenOpenAlexFDO

Authors M. O. Salau

Publication date 16 November 1998

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919708813373

zbMATH Keywords

computational methodderivative processesimpulse response coefficientsKronecker indicesmatrix differentiationreversed echelon formvector autoregressive moving average model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• Asymptotic properties of time domain gaussian estimators
• Derivative computations for the log likelihood function
• Finite sample properties of estimators for autoregressive moving average models
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• Modeling Multiple Times Series with Applications
• Multivariate linear time series models
• Stable spectral factorization with applications to the estimation of time series models
• The efficient estimation of vector linear time series models
• The information matrices of the parameters of multiple mixed time series
• Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics
• Vector linear time series models

Cited in

(10)

• On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• On the Fisher information matrix of a vector ARMA process
• Computing the covariance matrix of QML estimators for a state space model
• scientific article; zbMATH DE number 4199391 (Why is no real title available?)
• On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models
• Note on the Asymptotic Efficiency of Sample Covariances in Gaussian Vector Stationary Processes
• The asymptotic covariance matrix of the QMLE in ARMA models
• Computation of vector ARMA autocovariances
• Vector moving average models: a review

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