Metrika

, Volume 42, Issue 1, pp 331–339 | Cite as

A proof of asymptotic normality for some VARX models

  • Mohamed Boutahar
  • Claude Deniau
Article
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Abstract

Here we present a proof of the asymptotic normality of least squares estimates for stable multivariate autoregressive models excited by a deterministic second order input signal.

Key Words

Conditional Lindeberg condition least squares estimates martingale difference persistent excitation stable autoregressive model spectral measure 
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Copyright information

© Physica-Verlag 1995

Authors and Affiliations

  • Mohamed Boutahar
    • 1
    • 2
  • Claude Deniau
    • 1
    • 2
  1. 1.Dépt. de MathématiquesFaculté des SciencesMarseille Cedex 9France
  2. 2.GREQAMMarseilleFrance

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