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

DOI10.1111/J.1467-9892.1995.TB00259.XzbMATH Open0839.62086OpenAlexW2065736845MaRDI QIDQ4864583FDOQ4864583

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

Recommendations

• On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
• A generalized least squares estimation method for VARMA models
• A generalized least squares estimation method for invertible vector moving average models

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Autocorrelation, autoregression and autoregressive approximation
• Title not available (Why is that?)
• Diagnostic tests for multiple time series models
• Vector linear time series models
• Title not available (Why is that?)
• On Deriving the Inverse of a Sum of Matrices
• Identification of echelon canonical forms for vector linear processes using least squares
• Multivariate linear time series models
• Some efficient computational procedures for high order ARMA models
• The efficient estimation of vector linear time series models
• Asymptotic properties of time domain gaussian estimators
• On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
• Stable spectral factorization with applications to the estimation of time series models

Cited In (7)

• The selection of the order and identification of nonzero elements in the polynomial matrices of vector autoregressive processes
• 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
• On multiplicative seasonal modelling for vector time series
• A generalized least squares estimation method for VARMA models
• Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models

This page was built for publication: ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4864583)