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

D. S. Poskitt; M. O. Salau

首页> 外文期刊>journal of time series analysis >ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS

【24h】

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

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

获取原文

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相关主题

摘要

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 theor

著录项

来源
《journal of time series analysis》 |1995年第6期|617-645|共页
作者
D. S. Poskitt; M. O. Salau;
展开▼
作者单位

展开▼
收录信息
原文格式 PDF
正文语种英语
中图分类
关键词
Asymptotic convergence; autoregressive moving average; echelon canonical form; empirical evidence; Gaussian estimation scheme; generalized least squares; numerical implementation;

客服邮箱：kefu@zhangqiaokeyan.com

客服微信
服务号

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

摘要

著录项

相关主题

期刊订阅