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

MaRDI QIDQ751015zbMATH OpenFDO

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, https://eudml.org/doc/77357

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)

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