Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
نویسندگان
چکیده
منابع مشابه
Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
Two linear estimators for stationary invertible vector autoregressive moving average (VARMA) models in echelon form – to achieve parameter unicity (identification) – with known Kronecker indices are studied. It is shown that both estimators are consistent and asymptotically normal with strong innovations. The first estimator is a generalized-least-squares (GLS) version of the two-step least-squ...
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We study two linear estimators for stationary invertible VARMA models in echelon form (for identification), with known Kronecker indices. Such linear estimators are much simpler to compute than Gaussian maximum likelihood (ML) estimators often proposed for such models, which are highly nonlinear. The first estimator is an improved two-step estimator which can be interpreted as a generalized lea...
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In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are given. A consistent estimator of the asymptotic covariance matrix of the estimator is also provided, so t...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2014
ISSN: 0167-9473
DOI: 10.1016/j.csda.2013.11.002