误差项有条件异差阵的多元自回归模型的参数估计

PARAMETRIC ESTIMATE OF MULTIVARIATE AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROCOVARIANCE MATRIX ERRORS

线性时间序列模型至今已有广泛的研究。

This paper establish a class of multiple autoregressive models with conditional hetero-covariance matrix (MARCH). Conditions for the stationariness of the MARCH models arederived. The consistency and the asymptotic normality of the least squares (LS) estimatorand the maximum likelihood (ML) estimator are presented.