A Minimum Contrast Estimation for Spectral Densities of Multivariate Time Series

Yan Liu ()
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Yan Liu: Waseda University

Chapter Chapter 12 in Research Papers in Statistical Inference for Time Series and Related Models, 2023, pp 325-342 from Springer

Abstract: Abstract We propose a minimum contrast estimator for multivariate time series in the frequency domain. This extension has not been thoroughly investigated, although the minimum contrast estimator for univariate time series has been studied for a long time. The proposal in this paper is based on the prediction errors of parametric time series models. The properties of the proposed contrast estimation function are explained in detail. We also derive the asymptotic normality of the proposed estimator and compare the asymptotic variance with the existing results. The asymptotic efficiency of the proposed minimum contrast estimation is also considered. The theoretical results are illustrated by some numerical simulations.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-99-0803-5_12

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DOI: 10.1007/978-981-99-0803-5_12

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