Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
Bardet, Jean-Marc ; Wintenberger, Olivier
Ann. Statist., Tome 37 (2009) no. 1, p. 2730-2759 / Harvested from Project Euclid
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Strong consistency and asymptotic normality of the quasi-maximum likelihood estimator are given for a general class of multidimensional causal processes. For particular cases already studied in the literature [for instance univariate or multivariate ARCH(∞) processes], the assumptions required for establishing these results are often weaker than existing conditions. The QMLE asymptotic behavior is also given for numerous new examples of univariate or multivariate processes (for instance TARCH or NLARCH processes).
Publié le : 2009-10-15
Classification:  Quasi-maximum likelihood estimator,  strong consistency,  asymptotic normality,  multidimensional causal processes,  multivariate ARMA–GARCH processes,  62M10,  62F12 
@article{1247836667,
     author = {Bardet, Jean-Marc and Wintenberger, Olivier},
     title = {Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes},
     journal = {Ann. Statist.},
     volume = {37},
     number = {1},
     year = {2009},
     pages = { 2730-2759},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1247836667}
}

Bardet, Jean-Marc; Wintenberger, Olivier. Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes. Ann. Statist., Tome 37 (2009) no. 1, pp.  2730-2759. http://gdmltest.u-ga.fr/item/1247836667/