Local asymptotic normality for multivariate linear processes

DOI10.1016/0304-4149(94)90140-6zbMath0794.62063OpenAlexW2039592936MaRDI QIDQ1316604

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

linear processlocal asymptotic normalitylikelihood ratiosLANaverage Fisher information matricesfinite-order multivariate ARMA models

Mathematics Subject Classification ID

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

Related Items

Local asymptotic normality for multivariate nonlinear AR processes, Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes

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