Local asymptotic normality for multivariate linear processes

Xiaobao Wang

Stochastic Processes and their Applications, 1994, vol. 49, issue 2, 331-345

Abstract: Local asymptotic normality is established for the likelihood ratios of multivariate linear processes generated by independent and identically distributed random vectors. The average Fisher informations for both infinite order AR and infinite order MA processes are derived and are presented in frequency domain. The frequency domain formulae for average Fisher information matrices of finite dimensional parameter models including finite order multivariate ARMA models are also presented.

Keywords: local; asymptotic; normality; linear; process; ARMA; Fischer; information (search for similar items in EconPapers)
Date: 1994
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