ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS

Paul Kabaila

Journal of Time Series Analysis, 1983, vol. 4, issue 1, 37-47

Abstract: Abstract. In this paper we derive a lower bound on the asymptotic covariance matrix of an estimator of the parameters of an autoregressive moving average (ARMA) process when the innovations are not necessarily Gaussian.

Date: 1983
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https://doi.org/10.1111/j.1467-9892.1983.tb00355.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:4:y:1983:i:1:p:37-47

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