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

Let Xt be a discrete multivariate autoregressive process of order 1. The paper derives the joint moment generating function (mgf) of the two quadratic forms that are used to define statistics relating to the parameters of this process. The formula is then specialized to some cases of interest, including the mgf of functionals of multivariate Ornstein-Uhlenbeck processes.

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Year of publication:	1994
Authors:	Abadir, Karim ; Larson, Rolf
Institutions:	Business School, University of Exeter
Subject:	Vector Autoregressive (VAR) processes \| moment generating function (mgf) \| quadratic forms \| functionals of multivariate Wiener and Ornstein-Uhlenbeck processes \| systems of ordinary difference equations

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008862984