Abstract
In this work we prove the asymptotic efficiency of a certain time series recursion for the parameters of an ARMAX time series model.
Citation
V. Solo. "The Second Order Properties of a Time Series Recursion." Ann. Statist. 9 (2) 307 - 317, March, 1981. https://doi.org/10.1214/aos/1176345397
Information
Published: March, 1981
First available in Project Euclid: 12 April 2007
zbMATH: 0477.62072
MathSciNet: MR606615
Digital Object Identifier: 10.1214/aos/1176345397
Subjects:
Primary:
62M10
Secondary:
62L12
Keywords:
central limit theorem
,
efficiency
,
recursion
,
stochastic approximation
,
time series
Rights: Copyright © 1981 Institute of Mathematical Statistics
