TY - JOUR ID - 2064 TI - A weighted pairwise likelihood approach to multivariate AR(1) models JO - Iranian Journal of Science JA - ISTT LA - en SN - 2731-8095 AU - M. R., Kazemi AU - Nematollahi, A. R. AD - Department of Statistics, College of Sciences, Shiraz University, Shiraz 71454, Iran Y1 - 2012 PY - 2012 VL - 36 IS - 2 SP - 137 EP - 145 KW - Weighted pairwise likelihood KW - multivariate time series KW - Godambe information DO - 10.22099/ijsts.2012.2064 N2 - 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 andcomputational advantages of the weighted pairwise likelihood approach relative to the full likelihood approach. UR - https://ijsts.shirazu.ac.ir/article_2064.html L1 - https://ijsts.shirazu.ac.ir/article_2064_f058fdf0c083f762aedbf364e9c28f88.pdf ER -