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On the asymptotic distribution of a multivariate GR-estimate for a VAR(p) time series

✍ Scribed by Jeffrey T. Terpstra; M.Bhaskara Rao

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
176 KB
Volume
60
Category
Article
ISSN
0167-7152

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✦ Synopsis

This paper introduces a new class of estimates for estimating the parameters of a vector autoregressive time series. The estimates minimize a sum of weighted pairwise Euclidean distances and extend the univariate GR-estimates of Terpstra et al. (Statist. Probab. Lett. 51 (2001) 165; Statist. Inference Stochastic Process. 4 (2001) 155) to the multivariate model. Asymptotic linearity properties are derived for the so called MGR-estimate. Based on these properties, the MGR-estimate is shown to be asymptotically normal at rate n 1=2 .

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