Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise

DOI10.3103/S1066530714020021zbMath1308.62140arXiv1304.5929MaRDI QIDQ2261915

Alexandre Brouste, Chunhao Cai, Marina Kleptsyna

Publication date: 13 March 2015

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.5929

zbMATH Keywords

MLE; fractional Gaussian noise; autoregressive process

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62J05: Linear regression; mixed models

62M09: Non-Markovian processes: estimation

Related Items

Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise, Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise, Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory, Moment estimator for an AR(1) model driven by a long memory Gaussian noise

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