Asymptotic Properties of QML Estimators for VARMA Models with Time‐dependent Coefficients
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Publication:5357658
DOI10.1111/sjos.12268OpenAlexW2143462811MaRDI QIDQ5357658
Rajae Azrak, Guy Mélard, Christophe Ley, Abdelkamel Alj
Publication date: 12 September 2017
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/241623/3/2016-41-ALJ_AZRAK_LEY_MELARD-asymptotic.pdf
multivariate time seriestime-varying modelsnon-stationary processGaussian quasi-maximum likelihood estimatorasymptotic information matrix
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical aspects of information-theoretic topics (62B10)
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