Local asymptotic normality for multivariate linear processes

DOI10.1016/0304-4149(94)90140-6MaRDI QIDQ1316604zbMATH OpenOpenAlexFDO

Authors Xiaobao Wang

Publication date 14 March 1994

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(94)90140-6

zbMATH Keywords

average Fisher information matricesfinite-order multivariate ARMA modelsLANlikelihood ratioslinear processlocal asymptotic normality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Let \(\{x_ t\}\) be i.i.d. \(d\)-dimensional random vectors and \(\{\gamma_ j\}\) \(d \times d\) nonrandom matrices. The author considers a linear process \(y_ t=\sum^ \infty_{j=0} \gamma_ j x_{t-j}\). Local asymptotic normality (LAN) is established for the likelihood ratios for the distribution of \((x_ j:j \leq 0\), \(y_ 1,\dots,y_ n)\). From this general result LAN for \(\text{AR} (\infty)\) and LAN for \(\text{MA} (\infty)\) are easily derived. Formulas for average Fisher information matrices are presented including the case of finite-order multivariate ARMA models. The paper is a part of the author's PhD dissertation written under guidance of D. Brillinger.

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Cited in

(10)

• On the preservation of local asymptotic normality under information loss
• Local asymptotic normality for the scale parameter of stable processes.
• Conditions of local asymptotic normality for Gaussian stationary processes
• Local asymptotic normality of truncated empirical processes
• Local asymptotic normality and mixed normality for Markov statistical models
• Local asymptotic normality of multivariate ARMA processes with a linear trend
• Local asymptotic normality in of standard generalized Pareto processes
• Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes
• Local asymptotic normality for multivariate nonlinear AR processes
• scientific article; zbMATH DE number 1400030 (Why is no real title available?)

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