Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise

DOI10.1080/15326349.2023.2202227OpenAlexW4367680797MaRDI QIDQ6192221

M. Soltane

Publication date: 12 February 2024

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2023.2202227

zbMATH Keywords

Gaussian noiseasymptotic efficiencyergodic controlmaximum likelihood estimatorautoregressive processLAN propertyAUMPI test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05) Asymptotic properties of parametric tests (62F05)

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