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On Results Of Porat Concerning Asymptotic Efficiency Of Sample Covariances Of Gaussian Arma Processes

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  • A. M. Walker

Abstract

. An alternative derivation is given of results first obtained by Porat (1987) concerning the asymptotic efficiencies of sample autocovariances of a stationary Gaussian ARMA process. This is based on an approximation to the likelihood of these autocovariances.

Suggested Citation

  • A. M. Walker, 1995. "On Results Of Porat Concerning Asymptotic Efficiency Of Sample Covariances Of Gaussian Arma Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(2), pages 237-248, March.
    • Handle: RePEc:bla:jtsera:v:16:y:1995:i:2:p:237-248
    DOI: 10.1111/j.1467-9892.1995.tb00232.x
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    References listed on IDEAS

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    1. Boaz Porat, 1987. "Some Asymptotic Properties Of The Sample Covariances Of Gaussian Autoregressive Moving‐Average Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(2), pages 205-220, March.
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    Cited by:

    1. Alessandra Luati & Francesca Papagni & Tommaso Proietti, 2021. "Efficient Nonparametric Estimation of Generalized Autocovariances," CEIS Research Paper 515, Tor Vergata University, CEIS, revised 14 Oct 2021.
    2. Boshnakov, Georgi N., 2005. "On the asymptotic properties of multivariate sample autocovariances," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 42-52, January.
    3. Haruo Iwakura & Ryo Okui, 2014. "Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," KIER Working Papers 887, Kyoto University, Institute of Economic Research.

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    1. Haruo Iwakura & Ryo Okui, 2014. "Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," KIER Working Papers 887, Kyoto University, Institute of Economic Research.
    2. Alessandra Luati & Francesca Papagni & Tommaso Proietti, 2021. "Efficient Nonparametric Estimation of Generalized Autocovariances," CEIS Research Paper 515, Tor Vergata University, CEIS, revised 14 Oct 2021.
    3. Boshnakov, Georgi N., 2005. "On the asymptotic properties of multivariate sample autocovariances," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 42-52, January.

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