Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models

DOI10.1111/jtsa.12566zbMath1468.62291MaRDI QIDQ4997698

Manabu Asai, Mike K. P. So

Publication date: 30 June 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12566

zbMATH Keywords

Wishart distribution; asymptotic theory; quasi-maximum likelihood estimation; conditional autoregressive Wishart

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

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

91B84: Economic time series analysis