Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes

Jean‐Marc Bardet · Olivier Wintenberger

108 citations0/0 files storedThe Annals of Statistics

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Financial Risk and Volatility Modeling Time Series Analysis and Forecasting Statistical and numerical algorithms

Abstract

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).

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References

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