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ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
Author(s) -
Poskitt D. S.,
Salau M. O.
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.tb00259.x
Subject(s) - mathematics , generalized least squares , estimator , autoregressive model , least squares function approximation , gaussian , convergence (economics) , total least squares , autoregressive–moving average model , mathematical optimization , statistics , regression analysis , physics , quantum mechanics , economics , economic growth
. 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.