ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES

Jean-Marc Bardet; Olivier Wintenberger

doi:10.1214/08-AOS674

ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES

Jean-Marc Bardet, Olivier Wintenberger

Department of Mathematical Sciences

45 Citations (Scopus)

Original language	English
Journal	Annals of Statistics
Volume	37
Issue number	5B
Pages (from-to)	2730-2759
ISSN	0090-5364
DOIs	https://doi.org/10.1214/08-AOS674
Publication status	Published - Oct 2009

Keywords

Quasi-maximum likelihood estimator
strong consistency
asymptotic normality
multidimensional causal processes
multivariate ARMA-GARCH processes

Access to Document

10.1214/08-AOS674

Cite this

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title = "ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES",

keywords = "Quasi-maximum likelihood estimator, strong consistency, asymptotic normality, multidimensional causal processes, multivariate ARMA-GARCH processes",

author = "Jean-Marc Bardet and Olivier Wintenberger",

year = "2009",

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AU - Wintenberger, Olivier

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KW - multidimensional causal processes

KW - multivariate ARMA-GARCH processes

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M3 - Journal article

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