Asymptotic distributions for quasi-efficient estimators in echelon VARMA models

DOI10.1016/j.csda.2013.11.002zbMath1506.62059OpenAlexW1977809099MaRDI QIDQ1623428

Tarek Jouini, Jean-Marie Dufour

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://cirano.qc.ca/files/publications/2015s-26.pdf

zbMATH Keywords

simulationlinear estimationechelon formKronecker indicesstationary invertible VARMAtruncation lag

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Estimation and forecasting in vector autoregressive moving average models for rich datasets ⋮ Estimation of functional ARMA models ⋮ Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages ⋮ Estimating models with high-order noise dynamics using semi-parametric weighted null-space fitting ⋮ Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations ⋮ Linear bootstrap methods for vector autoregressive moving-average models

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