Local asymptotic normality of multivariate ARMA processes with a linear trend |
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| Authors: | Bernard Garel Marc Hallin |
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| Affiliation: | (1) Institut National Polytechnique, ENSEEIHT, 2, rue Camichel, F-31071 Toulouse Cédex, France;(2) Institut de Statistique, Université Libre de Bruxelles, Campus de la Plaine, Boulevard du Triomphe, CP210, B-1050 Bruxelles, Belgium |
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| 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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| Keywords: | Multivariate linear model multivariate ARMA process local asymptotic normality |
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