Estimating the asymptotic variance matrix of the QMLE of weak multivariate ARMA models

DOI10.1016/j.crma.2011.05.015zbMath1223.62149OpenAlexW2094500223MaRDI QIDQ639606

Yacouba Boubacar Maïnassara

Publication date: 22 September 2011

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2011.05.015

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Unnamed Item

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