Theory of Probability and Mathematical Statistics

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ISSN 1547-7363(e) ISSN 0094-9000(p)

Estimation and inference of the vector autoregressive process under heteroscedasticity

Authors: T. Bodnar and T. Zabolotskyy
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 83 (2010).
Journal: Theor. Probability and Math. Statist. 83 (2011), 27-45
MSC (2010): Primary 62H12, 62M15; Secondary 62H10
Posted: February 2, 2012
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Abstract | References | Similar Articles | Additional Information

Abstract: In this paper we derive the asymptotic distribution of the estimator for the parameters of the vector autoregressive process of order with an unconditionally heteroscedastic error process. The covariance matrix of the error process is modeled as a deterministic matrix function and it is estimated nonparametrically at each time point. This estimator is used for deriving inference procedures for the parameters of the vector autoregressive process.

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