A NOTE ON THE ASYMPTOTICS OF A STOCHASTIC VECTOR DIFFERENCE EQUATION

Authors
BOSWIJK HP NEUDECKER H LIU SZ
Citation
Hp. Boswijk et al., A NOTE ON THE ASYMPTOTICS OF A STOCHASTIC VECTOR DIFFERENCE EQUATION, Biometrika, 81(1), 1994, pp. 216-218
Citations number
2
Categorie Soggetti
Mathematical Methods, Biology & Medicine","Statistic & Probability
Journal title
Biometrika → ACNP
ISSN journal
00063444
Volume
81
Issue
1
Year of publication
1994
Pages
216 - 218
Database
ISI
SICI code
0006-3444(1994)81:1<216:ANOTAO>2.0.ZU;2-U
Abstract
This note analyses a necessary condition for asymptotic normality of t he maximum likelihood estimator in a stationary stochastic vector diff erence equation. It is shown that this condition is satisfied if the e rror variance matrix is positive definite.