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Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series

  • Florian ZielEmail author
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 122)

Abstract

We consider a general multivariate periodically stationary and ergodic causal time series model. We prove consistency and asymptotic normality of the quasi-maximum likelihood (QML) estimator of it. Applications to the multivariate nonlinear periodic AR(∞)–ARCH(∞) process are shown.

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.Europa-Universität ViadrinaFrankfurt (Oder)Germany

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