ON RESULTS OF PORAT CONCERNING ASYMPTOTIC EFFICIENCY OF SAMPLE COVARIANCES OF GAUSSIAN ARMA PROCESSES

DOI10.1111/j.1467-9892.1995.tb00232.xzbMath0813.62080OpenAlexW2014841672MaRDI QIDQ4328384

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Publication date: 6 June 1995

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.tb00232.x

zbMATH Keywords

sample autocovariancesasymptotic efficienciesstationary Gaussian ARMA process

Mathematics Subject Classification ID

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

Related Items (2)

Efficient nonparametric estimation of generalised autocovariances ⋮ On the asymptotic properties of multivariate sample autocovariances

Cites Work

• The asymptotic theory of linear time-series models
• Unnamed Item

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