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- W1994706268 abstract "The Aitken-Markov (A-M) scheme for estimation of the parameters of linear systems with autoregressi ve disturbances is analysed. The scheme consists of three steps. The asymptotic distributions of the estimates calculated within each step are derived. It is shown that the (final) estimates of the third step are not necessarily more accurate than the (initial) first-step estimates. The asymptotic efficiency of the A-M estimate is also studied. The A-M estimator can be embedded in a much more general estimation scheme. The asymptotic accuracy of the general scheme is also studied. It is shown that this scheme provides asymptotically efficient estimates if (and essentially only if) the information matrix associated with the model under consideration is block-diagonal." @default.
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- W1994706268 date "1985-05-01" @default.
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- W1994706268 title "Asymptotic accuracy of the Aitken-Markov estimator" @default.
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- W1994706268 doi "https://doi.org/10.1080/0020718508961190" @default.
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