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

D. S. Poskitt; M. O. Salau

doi:10.1111/j.1467-9892.1995.tb00259.x

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

D. S. Poskitt, M. O. Salau

Research output: Contribution to journal › Article › Research › peer-review

12 Citations (Scopus)

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
Pages (from-to)	617-645
Number of pages	29
Journal	Journal of Time Series Analysis
Volume	16
Issue number	6
DOIs	https://doi.org/10.1111/j.1467-9892.1995.tb00259.x
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

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10.1111/j.1467-9892.1995.tb00259.x

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AB - 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.

KW - Asymptotic convergence

KW - autoregressive moving average

KW - echelon canonical form

KW - empirical evidence

KW - Gaussian estimation scheme

KW - generalized least squares

KW - numerical implementation

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

Abstract

Keywords

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