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A proof of asymptotic normality for some VARX models

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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.

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Authors and Affiliations

  1. Dépt. de Mathématiques, Faculté des Sciences, Case 901, 163 Avenue de Luminy, 13288, Marseille Cedex 9, France

    Mohamed Boutahar & Claude Deniau

  2. GREQAM, Vieille Charité, 13002, Marseille, France

    Mohamed Boutahar & Claude Deniau

Authors
  1. Mohamed Boutahar
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  2. Claude Deniau
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Boutahar, M., Deniau, C. A proof of asymptotic normality for some VARX models. Metrika 42, 331–339 (1995). https://doi.org/10.1007/BF01894330

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  • DOI: https://doi.org/10.1007/BF01894330

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