(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.