Author:
Abadir Karim M.,Larsson Rolf
Abstract
Let (X1) be a discrete multivariate Gaussian autoregressive process of order 1. The paper derives the exact finite-sample joint moment generating function (m.g.f.) of the three quadratic forms constituting the sufficient statistic of the process. The formula is then specialized to some cases of interest, including the m.g.f. of functional of multivariate Ornstein-Uhlenbeck processes that arise asymptotically from more general (X1) processes as well.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Reference32 articles.
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3. Aspects of Multivariate Statistical Theory
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