Title of article
A weighted pairwise likelihood approach to multivariate AR(1) models
Author/Authors
Kazemi، M.R نويسنده Department of Statistics, College of Sciences, Shiraz University, Shiraz 71454, Iran , , NEMATOLLAHI، A.R نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی 0 سال 2012
Pages
9
From page
137
To page
145
Abstract
In this paper, the use of weighted pairwise likelihood instead of the full likelihood in estimating the parameters of
the multivariate AR(1) is investigated. A closed formula for typical elements of the Godambe information
(sandwich information) is presented. Some efficiency calculations are also given to discuss the feasibility and
computational advantages of the weighted pairwise likelihood approach relative to the full likelihood approach.
Journal title
Iranian Journal of Science and Technology Transaction A: Science
Serial Year
2012
Journal title
Iranian Journal of Science and Technology Transaction A: Science
Record number
1596593
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