Abstract
Abstract. This paper investigates theoretical aspects of the relationship between the generalized least squares and Gaussian estimation schemes for vector autoregressive moving‐average models. The asymptotic convergence of the generalized least squares estimator to the Gaussian estimator is established and an alternative numerical method for implementing the generalized least squares scheme is proposed. Finally, some simulation results are presented to illustrate the theory.
Original language | English |
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Pages (from-to) | 617-645 |
Number of pages | 29 |
Journal | Journal of Time Series Analysis |
Volume | 16 |
Issue number | 6 |
DOIs | |
Publication status | Published - 1 Jan 1995 |
Externally published | Yes |
Keywords
- Asymptotic convergence
- autoregressive moving average
- echelon canonical form
- empirical evidence
- Gaussian estimation scheme
- generalized least squares
- numerical implementation