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ON RESULTS OF PORAT CONCERNING ASYMPTOTIC EFFICIENCY OF SAMPLE COVARIANCES OF GAUSSIAN ARMA PROCESSES
Author(s) -
Walker A. M.
Publication year - 1995
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1995.tb00232.x
Subject(s) - mathematics , gaussian , sample (material) , gaussian process , statistics , chemistry , physics , chromatography , quantum mechanics
. 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.