【作者单位】1 School of Statistics, Southwestern University of Finance and Economics, Chengdu, China 2 School of Finance and Economics, Tibet University, Lhasa, China
【年份】2019
【卷号】Vol.16 No.2
【页码】200-210
【ISSN】1684-3703
【关键词】asymptotic property closed-form estimator moment equation quasi-maximum likelihood estimator Vector multiplicative error model
【摘要】 The vector multiplicative error model is a popular model known for its capability of analyzing and forecasting multidimensional non-negative-valued time series. In this paper, we present a closed-form estimator for the vMEM. The estimator has the ad...
