Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I

Abdelkamel Alj, Christophe Ley and Guy Melard

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Keywords: non-stationary process; multivariate time series; time-varying models (search for similar items in EconPapers)
Pages: 40 p.
Date: 2015-06
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