A proof of asymptotic normality for some VARX models

A proof of asymptotic normality for some VARX models

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Article ID: iaor19961846
Country: Germany
Volume: 42
Issue: 5
Start Page Number: 331
End Page Number: 339
Publication Date: Sep 1995
Journal: Metrika
Authors: ,
Abstract:

Here the authors present a proof of the asymptotic normality of least squares estimates for stable multivariate autoregressive models excited by a deterministic second order input signal.

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