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

DOI10.3103/S1066530714020021zbMath1308.62140arXiv1304.5929OpenAlexW1986927359MaRDI 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

MLEfractional Gaussian noiseautoregressive process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09)

Related Items (4)

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

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