A note on the asymptotics of a stochastic vector difference equation
| Authors |
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| Publication date | 1994 |
| Journal | Biometrika |
| Volume | Issue number | 81 | 1 |
| Pages (from-to) | 216-218 |
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| 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. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1093/biomet/81.1.216
(Final published version)
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