Olivier Wintenberger (Université Paris 1, Samos-Matisse)

Asymptotic normality of the Quasi Maximum Likelihood

vendredi 14 mars 2008, 9h30 - 10h45

Salle de réunion, espace Turing

Strong consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator are given for a general class of multidimensional causal processes. For particular cases of processes already studied in the literature (for instance univariate or multivariate GARCH, ARCH, ARMA-GARCH processes) the assumptions required for establishing these results are often weaker than existing conditions. The QMLE asymptotic behavior is also given for numerous other (new) examples of univariate or multivariate processes (for instance TARCH or NLARCH processes).