A central limit theorem for estimation in Gaussian stationary time series observed at unequally spaced times

DOI10.1016/0304-4149(83)90005-4zbMath0502.62073MaRDI QIDQ1172908

William T. M. Dunsmuir

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0304-4149(83)90005-4

zbMATH Keywords

asymptotic normality; martingale differences; maximum likelihood estimator; missing data; Gaussian stationary time series; unequally spaced times

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F05: Central limit and other weak theorems

62M09: Non-Markovian processes: estimation

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Cites Work

• Estimation of a time series model from unequally spaced data
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Vector linear time series models
• Martingale Central Limit Theorems
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