We give the mathematical derivations of the results on the asymptotic properties of the SIML estimator in Chap. 3. For the sake of completeness, we also give useful relations of trigonometric functions that are the results of direct but often tedious calculations. This chapter can be skipped for readers who are interested in only financial applications.
- Billingsley, P. 1995. Probability and measure, 3rd ed. New York: Wiley.Google Scholar