Information criteria for multivariate CARMA processes

DOI10.3150/16-BEJ830zbMath1457.62260arXiv1505.00901MaRDI QIDQ2405128

Vicky Fasen, Sebastian Kimmig

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.00901

zbMATH Keywords

consistencylaw of iterated logarithmAICBICinformation criteriaCARMA processquasi maximum likelihood estimationKronecker index

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Generalized stochastic processes (60G20) Statistical aspects of information-theoretic topics (62B10)

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Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes

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