Necessary and sufficient conditions for the identifiability of observation‐driven models

DOI10.1111/jtsa.12559zbMath1493.62518arXiv1904.02893OpenAlexW3090387268MaRDI QIDQ4997691

Tepmony Sim, Randal Douc, François Roueff

Publication date: 30 June 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.02893

zbMATH Keywords

identifiabilitytime series of countsobservation-driven models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Discrete-time Markov processes on general state spaces (60J05)

Related Items (2)

Asymptotic Analysis of a Matrix Latent Decomposition Model ⋮ General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator

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