An efficient method for the estimation of multivariate moving averge models |
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| Authors: | Pentti Saikkonen Ritva Luukkone |
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| Institution: | 1. Department or statistic , University of helsinki , Finland;2. Institute of occupational health , Helsinki, 00250, Finland |
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| Abstract: | Durbin's (1959) efficient method for the estimation of univariate moving average models is generalized to the vector case. Strong consistency and asymptotic normality of the estimator is proved. A simulation experiment is performed to illustrate the behaviour of the method in finite samples. |
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| Keywords: | asymptotic normality long autoregresion multivariate moving average model strong consistency |
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