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

DOI10.1016/j.spa.2013.04.010zbMath1285.62104arXiv1210.4739MaRDI 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

stationarity; time series of counts; observation-driven models

Mathematics Subject Classification ID

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

62F10: Point estimation

62B10: Statistical aspects of information-theoretic topics

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