Hafner, Christian M.; Linton, Oliver Bruce; Tang, Haihan - 2016
with the dimension of the matrix. We propose an estimation method of the parameters based on a log-linear property of the … structure, and also a quasi-maximum likelihood estimation (QMLE) method. We establish the rate of convergence of the estimated … parameters when the size of the matrix diverges. We also establish a central limit theorem (CLT) for our method. We derive the …