Maximum likelihood estimation of order m for stationary stochastic processes
From MaRDI portal
Publication:3316424
DOI10.1093/biomet/70.2.381zbMath0533.62078MaRDI QIDQ3316424
Publication date: 1983
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/70.2.381
consistency; asymptotic normality; maximum likelihood estimation; stationary stochastic processes; asymptotic relative efficiency; approximate likelihood
62M09: Non-Markovian processes: estimation
62M05: Markov processes: estimation; hidden Markov models
62M99: Inference from stochastic processes
Related Items
DYNAMIC FACTOR MODELS, Combined composite likelihood, A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD, A composite likelihood inference in latent variable models for ordinal longitudinal responses, On composite marginal likelihoods, Some challenges for statistics, Join-and-Cut algorithm for self-avoiding walks with variable length and free endpoints, Regression theory for categorical time series, Consistency of estimators of the population-scaled recombination rate, Stochastic volatility duration models, Pairwise Likelihood Inference for General State Space Models