Minimum density power divergence estimator for covariance matrix based on skew t distribution

摘要

In this paper, we study the problem of estimating the covariance matrix of stationary multivariate time series based on the minimum density power divergence method that uses a multivariate skew t distribution family. It is shown that under regularity conditions, the proposed estimator is strongly consistent and asymptotically normal. A simulation study is provided for illustration.