ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS

DOI10.1111/j.1467-9892.1983.tb00355.xzbMath0514.62096OpenAlexW2132953857MaRDI QIDQ3660738

Paul V. Kabaila

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00355.x

zbMATH Keywords

ARMA processasymptotic covariance matrixautoregressive moving averageasymptotic efficiency of estimators

Mathematics Subject Classification ID

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

Related Items

A characterization of limiting distributions of estimators in an autoregressive process ⋮ Local asymptotic normality for multivariate nonlinear AR processes ⋮ Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes ⋮ Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes ⋮ Nonlinear autoregressive models with optimality properties ⋮ Local asymptotic normality for multivariate linear processes

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