Abstract
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.
Keywords
- Random Vector
- Asymptotic Property
- Ergodic Theorem
- Maximum Likelihood Procedure
- Maximum Likelihood Estimation Procedure
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 1982 Springer-Verlag New York Inc.
About this chapter
Cite this chapter
Nicholls, D.F., Quinn, B.G. (1982). The Estimation of Multivariate Models. In: Random Coefficient Autoregressive Models: An Introduction. Lecture Notes in Statistics, vol 11. Springer, New York, NY. https://doi.org/10.1007/978-1-4684-6273-9_7
Download citation
DOI: https://doi.org/10.1007/978-1-4684-6273-9_7
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-90766-6
Online ISBN: 978-1-4684-6273-9
eBook Packages: Springer Book Archive