Asymptotic properties of conditional least-squares estimators for array time series
DOI10.1007/s11203-021-09242-8zbMath1477.62233OpenAlexW2782956466MaRDI QIDQ2243553
Publication date: 11 November 2021
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/304276/3/2020-12-AZRAK_MELARD-asymptotic.pdf
information matrixmultivariate time seriestime-varying modelsnon-stationary processKlimko-Nelson's theorems
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Statistical aspects of information-theoretic topics (62B10)
Uses Software
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