The information matrix of time-dependent models for vector time series

DOI10.1016/J.SPL.2025.110517MaRDI QIDQ6880279zbMATH OpenFDO

Authors Guy Mélard

Publication date 19 December 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110517

zbMATH Keywords

multivariate time seriesnon-stationary processVARMA modeltime-varying modelmarginal heteroscedasticityarray process

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Parametric inference (62Fxx) Inference from stochastic processes (62Mxx)

Cites work

• scientific article; zbMATH DE number 1077338 (Why is no real title available?)
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• Asymptotic Properties of QML Estimators for VARMA Models with Time‐dependent Coefficients
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• Automatic locally stationary time series forecasting with application to predicting UK gross value added time series
• Consistent and asymptotically normal estimators for cyclically time-dependent linear models
• Estimation in nonlinear time series models
• Fitting time series models to nonstationary processes
• General estimation results for \textsc{tdVARMA} array models
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• On conditional least squares estimation for stochastic processes
• Time-dependent time series models: comments on Marc Hallin's early contributions and a pragmatic view on estimation
• Vector moving average models: a review

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