ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES
Research output: Contribution to journal › Journal article › Research › peer-review
| Original language | English |
|---|---|
| Journal | Annals of Statistics |
| Volume | 37 |
| Issue number | 5B |
| Pages (from-to) | 2730-2759 |
| ISSN | 0090-5364 |
| DOIs | |
| Publication status | Published - Oct 2009 |
- Quasi-maximum likelihood estimator, strong consistency, asymptotic normality, multidimensional causal processes, multivariate ARMA-GARCH processes
Research areas
ID: 135498641