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THE ASYMPTOTIC EFFICIENCY OF A LINEAR PROCEDURE OF ESTIMATION FOR ARMA MODELS

 

作者: Chen Zhao‐Guo,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1985）
卷期: Volume 6, issue 1  

页码: 53-62

 

ISSN:0143-9782

 

年代: 1985

 

DOI:10.1111/j.1467-9892.1985.tb00397.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Strong consistency;CLT;information matrix;martingale difference

 

数据来源: WILEY

 

摘要:

Abstract.This paper presents a proof for the asymptotic efficiency of the linear procedure, suggested by Hannan and Rissanen (1982), for parameter estimation of ARMA models.

 

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