ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS

DOI10.1111/J.1467-9892.1995.TB00259.XMaRDI QIDQ4864583zbMATHOpenAlexFDO

Authors D. S. Poskitt, M. O. Salau

Publication date 23 June 1996

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1995.tb00259.x

zbMATH Keywords

simulation resultsasymptotic convergencegeneralized least squares estimatornumerical implementationechelon canonical formvector autoregressive moving-average modelsempirical evidenceGaussian estimation schemes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
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• Asymptotic properties of time domain gaussian estimators
• Autocorrelation, autoregression and autoregressive approximation
• Diagnostic tests for multiple time series models
• Identification of echelon canonical forms for vector linear processes using least squares
• Multivariate linear time series models
• On Deriving the Inverse of a Sum of Matrices
• On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
• Some efficient computational procedures for high order ARMA models
• Stable spectral factorization with applications to the estimation of time series models
• The efficient estimation of vector linear time series models
• Vector linear time series models

Cited in

(7)

• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
• The selection of the order and identification of nonzero elements in the polynomial matrices of vector autoregressive processes
• On multiplicative seasonal modelling for vector time series
• Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications
• A generalized least squares estimation method for VARMA models

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