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

Authors: Xavier Milhaud, Albert Raugi 

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

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zbMATH Keywords

maximum likelihood estimatorautoregressive processconvergence in distributionspeed of convergenceunique invariant distributionlimit law

Mathematics Subject Classification ID

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 (18)

• Asymptotic behavior of maximal likelihood estimation of a first order autoregression with random parameter
• The spectral method and the central limit theorem for general Markov chains
• Optimality of the Maximum Likelihood Estimator in AR (p) Model Under a General Set-Up of the Roots
• Rate of convergence in the central limit theorem for strongly ergodic Markov chains
• On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
• Convergence results for maximum likelihood type estimators in multivariable ARMA models
• 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
• Maximum likelihood estimators in nonlinear autoregressive processes
• Probabilistic limit theorems via the operator perturbation method, under optimal moment assumptions
• Central limit theorems for iterated random Lipschitz mappings.
• Title not available (Why is that?)
• The Nagaev-Guivarc'h method via the Keller-Liverani theorem
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• A uniform Berry-Esseen theorem on \(M\)-estimators for geometrically ergodic Markov chains

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