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A proof of asymptotic normality for some VARX models |
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| Authors: | Mohamed Boutahar Claude Deniau |
| Institution: | (1) Dépt. de Mathématiques, Faculté des Sciences, Case 901, 163 Avenue de Luminy, 13288 Marseille Cedex 9, France;(2) GREQAM, Vieille Charité, 13002 Marseille, France |
| 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. |
| Keywords: | Conditional Lindeberg condition least squares estimates martingale difference persistent excitation stable autoregressive model spectral measure |
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