A weighted pairwise likelihood approach to multivariate AR(1) models

Document Type: Regular Paper

Authors

Department of Statistics, College of Sciences, Shiraz University, Shiraz 71454, Iran

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.

Keywords