A note on the asymptotics of a stochastic vector difference equation

DOI10.1093/BIOMET/81.1.216MaRDI QIDQ4299495zbMATH OpenOpenAlexFDO

Authors H. Peter Boswijk, Heinz Neudecker, Shuangzhe Liu

Publication date 22 August 1994

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/81.1.216

zbMATH Keywords

asymptotic normalityerror variance matrixmaximum likelihood estimatornecessary conditionstationary stochastic vector difference equation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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