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
收藏
页码：216 / 218
页数：3
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