Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series

DOI10.1111/j.1467-9892.2006.00492.xzbMath1141.62074OpenAlexW2063146705MaRDI QIDQ3505309

Qiwei Yao, Peter J. Brockwell

Publication date: 18 June 2008

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/57580/

zbMATH Keywords

consistencyasymptotic normalitymartingale differenceGaussian maximum likelihood estimationARMA time series model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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