ON RESULTS OF PORAT CONCERNING ASYMPTOTIC EFFICIENCY OF SAMPLE COVARIANCES OF GAUSSIAN ARMA PROCESSES

A. M. Walker

Journal of Time Series Analysis, 1995, vol. 16, issue 2, 237-248

Abstract: Abstract. An alternative derivation is given of results first obtained by Porat (1987) concerning the asymptotic efficiencies of sample autocovariances of a stationary Gaussian ARMA process. This is based on an approximation to the likelihood of these autocovariances.

Date: 1995
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