The behaviour of the likelihood function for ARMA models

DOI10.2307/1427343MaRDI QIDQ3347148zbMATH OpenOpenAlexFDO

Authors Manfred Deistler, Benedikt M. Pötscher

Publication date 1984

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427343

zbMATH Keywords

maximum likelihood estimationboundarymultivariate ARMA modelsGaussian likelihood functionnatural parameter spacecontinuity of likelihood functionexistence of a maximum of the likelihood function

Mathematics Subject Classification ID

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

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