Yao, Qiwei and Brockwell, Peter J (2006) Gaussian maximum likelihood estimation for ARMA models I: time series. Journal of time series analysis, 27 (6). pp. 857-875. ISSN 0143-9782
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Abstract
We provide a direct proof for consistency and asymptotic normality of Gaussian maximum likelihood estimators for causal and invertible autoregressive moving-average (ARMA) time series models, which were initially established by Hannan [Journal of Applied Probability (1973) vol. 10, pp. 130–145] via the asymptotic properties of a Whittle's estimator. This also paves the way to establish similar results for spatial processes presented in the follow-up article by Yao and Brockwell published in Bernoulli
| Item Type: | Article |
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| Official URL: | http://www.blackwell-synergy.com/loi/JTSA |
| Additional Information: | © Blackwell Publishing 2006 |
| Library of Congress subject classification: | H Social Sciences > HA Statistics |
| Sets: | Collections > Economists Online Departments > Statistics |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/5825/ |
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