| Type de publication : |
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Articles dans des revues avec comité de lecture |
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| Domaine : |
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| Titre : |
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Asymptotic normality of the Quasi Maximum Likelihood Estimator for multidimensional causal processes |
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| Auteur(s) : |
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Jean-Marc Bardet ( ) 1, 2, Olivier Wintenberger 1, 2 |
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| Laboratoire : |
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| Résumé : |
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Strong consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator (QMLE) are given for a general class of multidimensional causal processes. For particular cases already studied in the literature (for instance univariate or multivariate GARCH, ARCH, ARMA-GARCH 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). |
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Langue du texte
intégral : |
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Anglais |
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Date de production,
écriture : |
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2007 |
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| Journal : |
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The Annals of Statistics |
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| Audience : |
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internationale |
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| Date de publication : |
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10/2009 |
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| Volume : |
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37 |
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| Numéro : |
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5B |
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| Page, identifiant, ... : |
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2730-2759 |
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| Mots Clés : |
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Quasi-Maximum Likelihood Estimator – Strong consistency – Asymptotic normality – Multidimensional causal processes – Multivariate ARMA-GARCH processes |
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| Classification : |
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62M10, 62F12 |
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