On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models

DOI10.1080/03610919908813576MaRDI QIDQ4490202zbMATH OpenOpenAlexFDO

Authors M. O. Salau

Publication date 11 July 2000

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

Full work available at URL https://doi.org/10.1080/03610919908813576

Mathematics Subject Classification ID

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

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Cites work

• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• Consistent autoregressive spectral estimates
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
• scientific article; zbMATH DE number 3916157 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• Identification of echelon canonical forms for vector linear processes using least squares
• Linear Statistical Inference and its Applications
• Multivariate linear time series models
• Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models
• On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
• Prediction of multivariate time series by autoregressive model fitting
• REGRESSION, AUTOREGRESSION MODELS
• Stable spectral factorization with applications to the estimation of time series models
• Testing for unit roots in autoregressive-moving average models of unknown order

Cited in

(2)

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