Dufour, Jean-Marie; Jouini, Tarek - In: Computational Statistics & Data Analysis 73 (2014) C, pp. 69-86
Two linear estimators for stationary invertible vector autoregressive moving average (VARMA) models in echelon form — to achieve parameter unicity (identification) — with known Kronecker indices are studied. It is shown that both estimators are consistent and asymptotically normal with...