THE ASYMPTOTIC EFFICIENCY OF A LINEAR PROCEDURE OF ESTIMATION FOR ARMA MODELS

Chen Zhao‐Guo

Journal of Time Series Analysis, 1985, vol. 6, issue 1, 53-62

Abstract: Abstract. This paper presents a proof for the asymptotic efficiency of the linear procedure, suggested by Hannan and Rissanen (1982), for parameter estimation of ARMA models.

Date: 1985
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https://doi.org/10.1111/j.1467-9892.1985.tb00397.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:6:y:1985:i:1:p:53-62

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