Problems associated with the parametric modelling of multivariate input output systems are addressed in this paper. A three stage estimation procedure is proposed, each stage being implemented by means of straighforward closed form multivariate least squares regressions. The statistical...

This paper is concerned with the asymptotic relative efficiency of the Gaussian and least squares estimators when employed to estimate the parameters of vector ARMA models presented in echelon canonical form. The relative efficiency is assessed via the variance-covariance matrices of the...