A NOTE ON THE ASYMPTOTICS OF A STOCHASTIC VECTOR DIFFERENCE EQUATION

被引：0

作者：

BOSWIJK, HP

NEUDECKER, H

LIU, SZ

机构：

来源：

BIOMETRIKA | 1994年 / 81卷 / 01期

关键词：

ASYMPTOTICS; MAXIMUM LIKELIHOOD ESTIMATOR; STOCHASTIC VECTOR DIFFERENCE EQUATION;

D O I：

暂无

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This note analyses a necessary condition for asymptotic normality of the maximum likelihood estimator in a stationary stochastic vector difference equation. It is shown that this condition is satisfied if the error variance matrix is positive definite.

引用

页码：216 / 218

页数：3

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