Asymptotic normality of the Quasi Maximum Likelihood Estimator for multidimensional causal processes

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dc.creatorBardet, Jean-Marc
dc.creatorWintenberger, Olivier
dc.date2007-12-05
dc.date.accessioned2026-07-07T12:27:17Z
dc.date.available2026-07-07T12:27:17Z
dc.descriptionStrong 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).
dc.identifierhttps://arxiv.org/abs/0712.0679
dc.identifierhttp://arxiv.org/abs/0712.0679
dc.identifierThe Annals of Statistics (2009) 1-32
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/215157
dc.subjectStatistics Theory
dc.subject62M10, 62F12
dc.titleAsymptotic normality of the Quasi Maximum Likelihood Estimator for multidimensional causal processes
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