We consider the parametric estimation of the driving Lévy process of a multivariate continuous-time autoregressive moving average (MCARMA) process, which is observed on the discrete time grid (0,h,2h,…). Beginning with a new state space representation, we develop a method to recover the...

We establish consistency and derive asymptotic distributions for estimators of the coefficients of a subset vector autoregressive (SVAR) process. Using a martingale central limit theorem, we first derive the asymptotic distribution of the subset least squares (LS) estimators. Exploiting the...

LetX1, ..., Xnbe observations from a multivariate AR(p) model with unknown orderp. A resampling procedure is proposed for estimating the orderp. The classical criteria, such as AIC and BIC, estimate the orderpas the minimizer of the function[formula]wherenis the sample size,kis the order...