On the second order asymptotic efficiency of estimators of Gaussian ARMA processes. (English) Zbl 0509.62086
MSC:
62M15 | Inference from stochastic processes and spectral analysis |
62F12 | Asymptotic properties of parametric estimators |
62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
62E20 | Asymptotic distribution theory in statistics |