Étude de l'estimateur du maximum de vraisemblance dans le cas d'un processus autorégressif: convergence, normalité asymptotique, vitesse de convergence. (Asymptotic behaviour of maximum likelihood estimator in an autoregressive process: consistency, as
zbMATH Open0714.60014MaRDI QIDQ751015FDOQ751015
Publication date: 1989
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AIHPB_1989__25_4_383_0
maximum likelihood estimatorautoregressive processconvergence in distributionspeed of convergenceunique invariant distributionlimit law
Point estimation (62F10) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05)
Cited In (9)
- The Nagaev-Guivarc’h method via the Keller-Liverani theorem
- The spectral method and the central limit theorem for general Markov chains
- Rate of convergence in the central limit theorem for strongly ergodic Markov chains
- Robustness of iterated function systems of Lipschitz maps
- Edgeworth expansion for \(M\)-estimators of \(V\)-geometrically ergodic Markov chains
- The spectral method and the central limit theorem for general Markov chains
- Probabilistic limit theorems via the operator perturbation method, under optimal moment assumptions
- Central limit theorems for iterated random Lipschitz mappings.
- A uniform Berry-Esseen theorem on \(M\)-estimators for geometrically ergodic Markov chains
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