The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series

Preprint
Publisher Website
Google Scholar
    • preprint
      • Published in RePEc
Abstract
Let Xt be a discrete multivariate autoregressive process of order 1. The paper derives the joint moment generating function (mgf) of the two quadratic forms that are used to define statistics relating to the parameters of this process. The formula is then specialized to some cases of interest, including the mgf of functionals of multivariate Ornstein-Uhlenbeck processes.
All Related Versions

This publication has 0 references indexed in Scilit: