The strong consistency of maximum likelihood estimators for ARMA processes

DOI10.1214/aos/1176344615zbMath0406.62018OpenAlexW2019646731MaRDI QIDQ1257745

K. Appert

Publication date: 1979

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176344615

zbMATH Keywords

Strong ConsistencyErgodic TheoremMaximum Likelihood EstimatorsAutoregressive Moving Average RepresentationsLinear PredictionMultivariate Gaussian Stochastic Processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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