Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator

DOI10.1016/j.spa.2013.04.010zbMath1285.62104arXiv1210.4739OpenAlexW2127079034MaRDI QIDQ2447647

Randal Douc, Paul Doukhan, Eric Moulines

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.4739

zbMATH Keywords

stationaritytime series of countsobservation-driven models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Statistical aspects of information-theoretic topics (62B10)

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