A note on the asymptotics of a stochastic vector difference equation

Peter Boswijk; Heinz Neudecker; Shuangzhe Liu

doi:10.2307/2337063

A note on the asymptotics of a stochastic vector difference equation

Peter Boswijk, Heinz Neudecker, Shuangzhe Liu

Information Systems

Research output: Contribution to journal › Special issue › peer-review

2 Citations (Scopus)

Abstract

This note analyses a necessary condition for asymptotic normality of the maximum likelihood estimator in a stationary stochastic vector difference equation. It is shown that this condition is satisfied if the error variance matrix is positive definite.

Original language	English
Pages (from-to)	216-218
Number of pages	2
Journal	Biometrika
Volume	81
Issue number	1
DOIs	https://doi.org/10.2307/2337063
Publication status	Published - 1994

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title = "A note on the asymptotics of a stochastic vector difference equation",

abstract = "This note analyses a necessary condition for asymptotic normality of the maximum likelihood estimator in a stationary stochastic vector difference equation. It is shown that this condition is satisfied if the error variance matrix is positive definite.",

author = "Peter Boswijk and Heinz Neudecker and Shuangzhe Liu",

year = "1994",

doi = "10.2307/2337063",

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AU - Boswijk, Peter

AU - Neudecker, Heinz

AU - Liu, Shuangzhe

PY - 1994

Y1 - 1994

N2 - This note analyses a necessary condition for asymptotic normality of the maximum likelihood estimator in a stationary stochastic vector difference equation. It is shown that this condition is satisfied if the error variance matrix is positive definite.

AB - This note analyses a necessary condition for asymptotic normality of the maximum likelihood estimator in a stationary stochastic vector difference equation. It is shown that this condition is satisfied if the error variance matrix is positive definite.

U2 - 10.2307/2337063

DO - 10.2307/2337063

M3 - Special issue

SN - 0006-3444

VL - 81

SP - 216

EP - 218

JO - Biometrika

JF - Biometrika

IS - 1

ER -

A note on the asymptotics of a stochastic vector difference equation

Abstract

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