ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS

DOI10.1111/j.1467-9892.1995.tb00259.xzbMath0839.62086OpenAlexW2065736845MaRDI QIDQ4864583

M. O. Salau, D. S. Poskitt

Publication date: 23 June 1996

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.tb00259.x

zbMATH Keywords

simulation resultsasymptotic convergencegeneralized least squares estimatornumerical implementationechelon canonical formvector autoregressive moving-average modelsempirical evidenceGaussian estimation schemes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (6)

Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ On multiplicative seasonal modelling for vector time series ⋮ Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models ⋮ Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications ⋮ The selection of the order and identification of nonzero elements in the polynomial matrices of vector autoregressive processes ⋮ The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models

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