Handy sufficient conditions for the convergence of the maximum likelihood estimator in observation-driven models
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Publication:746977
DOI10.1007/s10986-015-9286-8zbMath1323.62027arXiv1506.01831OpenAlexW1538855836MaRDI QIDQ746977
Randal Douc, Tepmony Sim, François Roueff
Publication date: 22 October 2015
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.01831
Asymptotic properties of parametric estimators (62F12) Discrete-time Markov processes on general state spaces (60J05)
Related Items (4)
Estimation of agent-based models using sequential Monte Carlo methods ⋮ General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator ⋮ COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS ⋮ Necessary and sufficient conditions for the identifiability of observation‐driven models
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