Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models

DOI10.1214/14-EJS968zbMath1309.62097OpenAlexW2039223210MaRDI QIDQ485924

Yacouba Boubacar Maïnassara

Publication date: 14 January 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1420071973

zbMATH Keywords

likelihood ratio testWald testLagrange multiplier testcovariance matrix estimateQMLE/LSEresiduals derivativesweak VARMA models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (2)

Estimating weak periodic vector autoregressive time series ⋮ Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms

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