A novel multivariate score-driven model is proposed to extract signals from noisy vector processes. By assuming that the conditional location vector from a multivariate Student's t distribution changes over time, we construct a robust filter which is able to overcome several issues that naturally arise when modeling heavy-tailed phenomena and, more in general, vectors of dependent non-Gaussian time series. We derive conditions for stationarity and invertibility and estimate the unknown parameters by maximum likelihood  . Strong consistency and asymptotic normality of the estimator are proved and the finite sample properties are illustrated by a Monte-Carlo study. From a computational point of view, analytical formulae are derived, which consent to develop estimation procedures based on the Fisher scoring method. The theory is supported by a novel empirical illustration that shows how the model can be effectively applied to estimate consumer prices from home scanner data.
A multivariate score-driven model is developed to extract signals from noisy vector processes. By assuming that the conditional location vector from a multivariate Student's t distribution changes over time, we construct a robust filter which is able to overcome several issues that naturally arise when modeling heavy-tailed phenomena and, more in general, vectors of dependent non-Gaussian time series. We derive conditions for stationarity and invertibility and estimate the unknown parameters by maximum likelihood (ML) . Strong consistency and asymptotic normality of the estimator are proved and the finite sample properties are illustrated by a Monte-Carlo study. From a computational point of view, analytical formulae are derived, which consent to develop estimation procedures based on the Fisher scoring method. The theory is supported by a novel empirical illustration that shows how the model can be effectively applied to estimate consumer prices from home scanner data.
D
novel
R
proposed
developed
R
t
t
A
(ML)