The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series

Let {X_{t}} be a discrete multivariate Gaussian autoregressive process of order 1. The paper derives the exact finite-sample joint moment generating function (mgf) of the three quadratic forms constituting the sufficient statistic of the process. The formula is then specialized to some cases of interest, including the mgf of functionals of multivariate Ornstein-Uhlenbeck processes that arise asymptotically from more general {X_{t}} processes as well

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Year of publication:	2012
Authors:	Abadir, Karim Maher
Other Persons:	Larsson, Rolf (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis

Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Econometric Theory, Vol. 17, p. 222, 2001 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 12, 1996 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013112348