The Estimation of Multivariate Models
From the point of view of estimation, to date we have only considered scalar RCA models. In this chapter we shall give a brief theoretical discussion of the estimation of multivariate RCA models. While the least squares estimation procedure of chapter 3 will be seen to extend readily to the multivariate situation, the extension of the maximum likelihood procedure is not as straightforward.
KeywordsRandom Vector Asymptotic Property Ergodic Theorem Maximum Likelihood Procedure Maximum Likelihood Estimation Procedure
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