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

DOI10.1214/08-AOS674zbMath1173.62063arXiv0712.0679OpenAlexW1995081547MaRDI QIDQ834361

Jean-Marc Bardet, Olivier Wintenberger

Publication date: 19 August 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.0679

zbMATH Keywords

asymptotic normalityquasi-maximum likelihood estimatorstrong consistencymultidimensional causal processesmultivariate ARMA-GARCH processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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