scientific article; zbMATH DE number 1069584

MaRDI QIDQ4356545zbMATH OpenFDO

Authors Murray Rosenblatt, M. Kramer

Publication date 22 January 1998

zbMATH Keywords

fluctuationsglobal asymptotic behaviorlikelihood functionmean behaviourtime series

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

In a number of finite parameter problems in time series, a likelihood function is computed as if the process is Gaussian and this likelihood is maximized to obtain estimates of the unknown parameters. Our object is to get qualitative information about the global asymptotic behavior of this `Gaussian' likelihood function. In particular we shall look at the sequence \((X_t)\) as an ARMA stationary \((p,q)\) process satisfying the relation \[ X_t-\varphi_1 X_{t-1}-\cdots- \varphi_pX_{t-p}= Z_t+\theta_1Z_{t-1}+\cdots+ \theta_qZ_{t-q}, \] where the \(Z_t\) terms are independent and identically distributed with mean 0 and variance \(\sigma^2\), with finite 4th moment, and the polynomials \(\varphi(\zeta)= 1-\varphi_1\zeta-\cdots- \varphi_p\zeta^p\) and \(\theta(\zeta)= 1+\theta_1\zeta+\cdots+ \theta_q\zeta^q\) have no roots on the unit circle. For the entire collection see [Zbl 0846.00010].

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