A Note on the Specification and Estimation of ARMAX Systems

DOI10.1111/j.1467-9892.2005.00397.xzbMath1092.62092OpenAlexW2128396667MaRDI QIDQ5467600

D. S. Poskitt

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00397.x

zbMATH Keywords

structure identificationstructural indexKronecker invariantmultivariate autoregressive moving-average model with exogenous variables

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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• On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
• Elements of multivariate time series analysis
• A new look at the statistical model identification

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