Large sample properties of parameter estimates for periodic ARMA models (Q2784953)
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scientific article; zbMATH DE number 1733173
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large sample properties of parameter estimates for periodic ARMA models |
scientific article; zbMATH DE number 1733173 |
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24 April 2002
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multivariate ARMA processes
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asymptotic normality
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weighted least squares estimator
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Large sample properties of parameter estimates for periodic ARMA models (English)
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An ARMA model with coefficients which are periodic functions of the time (with known period) is considered. The authors demonstrate how to represent this model in a multivariate ARMA form. Weighted least squares estimators of the coefficients and the innovation variances are considered. Asymptotic normality of these estimators is demonstrated for causal invertible Gaussian models.
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