(Received November 16, 1993; revised October 12, 1994)
Abstract. The local asymptotic normality (LAN) property is established for multivariate ARMA models with a linear trend or, equivalently, for multivariate general linear models with ARMA error term. In contrast with earlier univariate results, the central sequence here is correlogram-based, i.e. expressed in terms of a generalized concept of residual cross-covariance function.
Key words and phrases: Multivariate linear model, multivariate ARMA process, local asymptotic normality.
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