Weighted least squares approximate restricted likelihood estimation for vector autoregressive processes

DOI10.1093/biomet/asp071zbMath1182.62174OpenAlexW2024959617MaRDI QIDQ5305485

Willa W. Chen, Rohit S. Deo

Publication date: 22 March 2010

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asp071

zbMATH Keywords

biasrestricted maximum likelihoodunbiased estimating equation

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)

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