Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes

Annals of Statistics

Volumn 37, Issue 5 B, 2009, Pages 2730-2759

  Bardet, J M ^a   Wintenberger, Olivier ^a  

^a Centre National de la Recherche Scientifique   (France)

Author keywords

Asymptotic normality; Multidimensional causal processes; Multivariate ARMA GARCH processes; Quasi maximum likelihood estimator; Strong consistency

Indexed keywords

EID: 69049093888     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/08-AOS674     Document Type: Article

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