On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models

DOI10.1006/JMVA.1994.1064zbMath0814.62054OpenAlexW2002485731MaRDI QIDQ1340296

M. O. Salau, D. S. Poskitt

Publication date: 18 June 1995

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1994.1064

zbMATH Keywords

numerical examplesasymptotic relative efficiencycentral limit theoremleast squares estimatorsKronecker indicesvector ARMA modelsechelon canonical formGaussian estimatorvector time series models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS ⋮ Robust Estimation For Periodic Autoregressive Time Series ⋮ A Note on the Specification and Estimation of ARMAX Systems ⋮ On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models

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