Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models (Q485924)
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scientific article; zbMATH DE number 6386284
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| English | Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models |
scientific article; zbMATH DE number 6386284 |
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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0.9439465999603271
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0.8847262263298035
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0.8339478969573975
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0.8258278369903564
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0.8058748841285706
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