Convergence results for maximum likelihood type estimators in multivariable ARMA models

DOI10.1016/0047-259X(87)90097-2zbMath0626.62089MaRDI QIDQ580858

Benedikt M. Pötscher

Publication date: 1987

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

zbMATH Keywords

strong law of large numbersergodicityspectral densityARMA-modelconsistency, misspecificationexistence of second momentslikelihood-functionmaximum likelihood (ML) estimateMcMillan degreestationary ergodic vector ARMA process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Strong limit theorems (60F15)

Related Items (9)

OPTIMALITY OF GLS FOR ONE-STEP-AHEAD FORECASTING WITH REGARIMA AND RELATED MODELS WHEN THE REGRESSION IS MISSPECIFIED ⋮ Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts ⋮ Moving-average representation of autoregressive approximations ⋮ ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES ⋮ Modeling of time series arrays by multistep prediction or likelihood methods. ⋮ Seasonally and approximation errors in rational expectations models ⋮ Macroeconomics and the reality of mixed frequency data ⋮ Convergence results for maximum likelihood type estimators in multivariable ARMA models. II ⋮ Uniform convergence of sample second moments of families of time series arrays.

Cites Work

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• Estimation of vector Armax models
• Estimation of parameters in the ARMA model when the characteristic polynomial of the MA operator has a unit zero
• The strong consistency of maximum likelihood estimators for ARMA processes
• The behaviour of the likelihood function for ARMA models
• Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
• Vector linear time series models
• Vector linear time series models: corrections and extensions
• Convergence analysis of parametric identification methods

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