Abstract
The local asymptotic normality (LAN) property is established for multivariate ARMA models with a linear trend or, equivalently, for multivariate general linear models with ARMA error term. In contrast with earlier univariate results, the central sequence here is correlogram-based, i.e. expressed in terms of a generalized concept of residual cross-covariance function.
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Garel, B., Hallin, M. Local asymptotic normality of multivariate ARMA processes with a linear trend. Ann Inst Stat Math 47, 551–579 (1995). https://doi.org/10.1007/BF00773401
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DOI: https://doi.org/10.1007/BF00773401