Covariance matrix estimation for estimators of mixing weak ARMA models

Christian Francq; Jean‐Michel Zakoïan

doi:10.1016/s0378-3758(99)00109-3

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Covariance matrix estimation for estimators of mixing weak ARMA models

Christian Francq Jean‐Michel Zakoïan

Year: 2000 Journal: Journal of Statistical Planning and Inference Vol: 83 (2)Pages: 369-394 Publisher: Elsevier BV

DOI: 10.1016/s0378-3758(99)00109-3

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Keywords:

Mathematics Estimator Applied mathematics Covariance Covariance matrix Statistics Autoregressive–moving-average model Mixing (physics) Martingale difference sequence Estimation of covariance matrices Consistent estimator Minimum-variance unbiased estimator Martingale (probability theory) Econometrics Autoregressive model

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Covariance matrix estimation for estimators of mixing weak ARMA models

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