Abstract
In this note certain results obtained by Porat (J. Time Ser. Anal. 8 (1987), 205–20) and Kakizawa and Taniguchi (J. Time Ser. Anal. 15 (1994), 303–11) concerning the asymptotic efficiency of sample autocovariances of a zero‐mean Gaussian stationary process are extended to the case of m‐vector processes. It is shown that, for Gaussian vector AR(p) processes, the sample autocovariance matrix at lag k is asymptotically efficient if 0 ≤k≤p. Further, none of the sample autocovariance matrices is asymptotically efficient for Gaussian vector MA(q) processes.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
