ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
| Autor: | M. O. Salau, Donald Poskitt |
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| Rok vydání: | 1995 |
| Předmět: |
Statistics and Probability
Recursive least squares filter Mathematical optimization Applied Mathematics Explained sum of squares Generalized least squares Least squares Iteratively reweighted least squares Residual sum of squares Non-linear least squares Applied mathematics Statistics Probability and Uncertainty Total least squares Mathematics |
| Zdroj: | Journal of Time Series Analysis. 16:617-645 |
| ISSN: | 1467-9892 0143-9782 |
| DOI: | 10.1111/j.1467-9892.1995.tb00259.x |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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