THE JOINT MOMENT GENERATING FUNCTION OF QUADRATIC FORMS IN MULTIVARIATE AUTOREGRESSIVE SERIES

DOI10.1017/S0266466601171070zbMath0976.62084OpenAlexW3123572906MaRDI QIDQ2716440

Karim M. Abadir, Rolf Larsson

Publication date: 8 January 2002

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466601171070

zbMATH Keywords

moment generating functionOrnstein-Uhlenbeck processesdriftstime trendsGaussian vector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Statistical distribution theory (62E99)

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