The Second Order Properties of a Time Series Recursion
Open Access
- 1 March 1981
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 9 (2) , 307-317
- https://doi.org/10.1214/aos/1176345397
Abstract
In this work we prove the asymptotic efficiency of a certain time series recursion for the parameters of an ARMAX time series model.Keywords
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