ABOUT ESTIMATION OF THE AUTOREGRESSIVE PART FOR STABLE MULTIDIMENSIONAL ARMA MODELS

被引：0
|
作者：
DELLAGI, W
机构：
来源：
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 1991年 / 312卷 / 11期
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D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We present a part of a study on the estimation of autoregressive parameters for a multidimensional ARMA (autoregressive moving average) model in the general case. We are interested in the stable case when the matrix of the autoregressive part of the model has all its eigenvalues strictly inside the unit circle. The proposed estimator is explicit, strongly consistent and asymptotically normal.
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页码：883 / 886
页数：4
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