Garel, Bernard; Hallin, Marc Local asymptotic normality of multivariate ARMA processes with a linear trend. (English) Zbl 0841.62076 Ann. Inst. Stat. Math. 47, No. 3, 551-579 (1995). Summary: 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 terms. In contrast to earlier univariate results, the central sequence here is correlogram-based, i.e. expressed in terms of a generalized concept of residual cross-covariance function. Cited in 18 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62E20 Asymptotic distribution theory in statistics 62H10 Multivariate distribution of statistics Keywords:local asymptotic normality; multivariate ARMA models; linear trend; multivariate general linear models; ARMA error term; correlogram; generalized concept of residual cross-covariance function PDFBibTeX XMLCite \textit{B. Garel} and \textit{M. Hallin}, Ann. Inst. Stat. Math. 47, No. 3, 551--579 (1995; Zbl 0841.62076)