Estimation and inference of the vector autoregressive process under heteroscedasticity

DOI10.1090/S0094-9000-2012-00839-9zbMath1327.62337MaRDI QIDQ2890716

Taras Bodnar, Taras Zabolotskyy

Publication date: 11 June 2012

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

parameter estimationheteroscedasticityvector autoregressive processinference procedure

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15)

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Cites Work

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