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Technical Appendix to Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients

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Listed:
  • Abdelkamel Alj
  • Rajae Azrak
  • Christophe Ley
  • Guy Melard

Abstract

This technical appendix contains proofs for the asymptotic properties of quasi-maximum likelihood (QML) estimators for vector autoregressive moving average (VARMA) models in the case where the coefficients depend on time instead of being constant. We refer to the main theorems of the paper Asymptotic properties of QML estimators for VARMA models with time-dependent coefficients" (Alj, Azrak, Ley and M elard, 2016).

Suggested Citation

  • Abdelkamel Alj & Rajae Azrak & Christophe Ley & Guy Melard, 2016. "Technical Appendix to Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients," Working Papers ECARES ECARES 2016-42, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:eca:wpaper:2013/241626
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    References listed on IDEAS

    as
    1. Rajae Azrak & Guy Melard, 2006. "Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients," ULB Institutional Repository 2013/13758, ULB -- Universite Libre de Bruxelles.
    2. Rajae Azrak & Guy Mélard, 2006. "Asymptotic Properties of Quasi-Maximum Likelihood Estimators for ARMA Models with Time-Dependent Coefficients," Statistical Inference for Stochastic Processes, Springer, vol. 9(3), pages 279-330, October.
    3. Abdelkamel Alj & Rajae Azrak & Christophe Ley & Guy Melard, 2016. "Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients," Working Papers ECARES ECARES 2016-41, ULB -- Universite Libre de Bruxelles.
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