Convergence results for maximum likelihood type estimators in multivariable ARMA models. II

DOI10.1016/0047-259X(89)90037-7zbMath0682.62067MaRDI QIDQ1824333

Benedikt M. Pötscher, Rainer Dahlhaus

Publication date: 1989

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

ergodicityGaussianitymaximum likelihood estimatorlikelihood functionmultivariable ARMA modelsconsistency proofcondition B6zeroes of spectral density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10)

Related Items (3)

Whittle estimation for continuous-time stationary state space models with finite second moments ⋮ Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts ⋮ Modeling of time series arrays by multistep prediction or likelihood methods.

Cites Work

• Convergence results for maximum likelihood type estimators in multivariable ARMA models
• Vector linear time series models
• Vector linear time series models: corrections and extensions

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