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ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES. / Bardet, Jean-Marc; Wintenberger, Olivier.
I:
Annals of Statistics, Bind 37, Nr. 5B, 10.2009, s. 2730-2759.
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Harvard
Bardet, J-M & Wintenberger, O 2009, '
ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES',
Annals of Statistics, bind 37, nr. 5B, s. 2730-2759.
https://doi.org/10.1214/08-AOS674APA
Bardet, J-M., & Wintenberger, O. (2009).
ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES.
Annals of Statistics,
37(5B), 2730-2759.
https://doi.org/10.1214/08-AOS674Vancouver
Bardet J-M, Wintenberger O.
ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES.
Annals of Statistics. 2009 okt.;37(5B):2730-2759.
https://doi.org/10.1214/08-AOS674Author
Bardet, Jean-Marc ; Wintenberger, Olivier. / ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES. I: Annals of Statistics. 2009 ; Bind 37, Nr. 5B. s. 2730-2759.
Bibtex
@article{5a84844b7fb64a4eb22d3dcccc1d20c2,
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",
month = oct,
doi = "10.1214/08-AOS674",
language = "English",
volume = "37",
pages = "2730--2759",
journal = "Annals of Statistics",
issn = "0090-5364",
publisher = "Institute of Mathematical Statistics",
number = "5B",
}
RIS
TY - JOUR
T1 - ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES
AU - Bardet, Jean-Marc
AU - Wintenberger, Olivier
PY - 2009/10
Y1 - 2009/10
KW - Quasi-maximum likelihood estimator
KW - strong consistency
KW - asymptotic normality
KW - multidimensional causal processes
KW - multivariate ARMA-GARCH processes
U2 - 10.1214/08-AOS674
DO - 10.1214/08-AOS674
M3 - Journal article
VL - 37
SP - 2730
EP - 2759
JO - Annals of Statistics
JF - Annals of Statistics
SN - 0090-5364
IS - 5B
ER -
