Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models (Q485924): Difference between revisions
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| Property / author | |||
| Property / author: Yacouba Boubacar Maïnassara / rank | |||
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| Property / Mathematics Subject Classification ID: 62H12 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H15 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6386284 / rank | |||
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| Property / zbMATH Keywords | |||
covariance matrix estimate | |||
| Property / zbMATH Keywords: covariance matrix estimate / rank | |||
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Lagrange multiplier test | |||
| Property / zbMATH Keywords: Lagrange multiplier test / rank | |||
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likelihood ratio test | |||
| Property / zbMATH Keywords: likelihood ratio test / rank | |||
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QMLE/LSE | |||
| Property / zbMATH Keywords: QMLE/LSE / rank | |||
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residuals derivatives | |||
| Property / zbMATH Keywords: residuals derivatives / rank | |||
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Wald test | |||
| Property / zbMATH Keywords: Wald test / rank | |||
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| Property / zbMATH Keywords | |||
weak VARMA models | |||
| Property / zbMATH Keywords: weak VARMA models / rank | |||
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Revision as of 20:30, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models |
scientific article |
Statements
Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models (English)
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14 January 2015
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covariance matrix estimate
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Lagrange multiplier test
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likelihood ratio test
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QMLE/LSE
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residuals derivatives
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Wald test
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weak VARMA models
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