Convergence results for maximum likelihood type estimators in multivariable ARMA models

DOI10.1016/0047-259X(87)90097-2zbMath0626.62089MaRDI QIDQ580858

Benedikt M. Pötscher

Publication date: 1987

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

strong law of large numbersergodicityspectral densityARMA-modelconsistency, misspecificationexistence of second momentslikelihood-functionmaximum likelihood (ML) estimateMcMillan degreestationary ergodic vector ARMA process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Strong limit theorems (60F15)

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Cites Work

• Estimation of vector Armax models
• Estimation of parameters in the ARMA model when the characteristic polynomial of the MA operator has a unit zero
• The strong consistency of maximum likelihood estimators for ARMA processes
• The behaviour of the likelihood function for ARMA models
• Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
• Vector linear time series models
• Vector linear time series models: corrections and extensions
• Convergence analysis of parametric identification methods
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