Linear relations in time series models. II |
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Authors: | C Villegas Robert R Rennie |
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Institution: | Department of Mathematics, Simon Fraser University Canada |
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Abstract: | In this paper an asymptotic theory is developed for a new time series model which was introduced in a previous paper 5]. An algorithm for computing estimates of the parameters of this time series model is given, and it is shown that these estimators are asymptotically efficient in the sense that they have the same asymptotic distribution as the maximum likelihood estimators. |
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Keywords: | 62M10 62F10 Multiple time series Maximum likelihood estimation |
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