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Gaussian maximum likelihood estimation for ARMA models I: time series

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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Identification Number: 10.1111/j.1467-9892.2006.00492.x


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
Official URL:
Additional Information: © Blackwell Publishing 2006
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Sets: Collections > Economists Online
Departments > Statistics
Date Deposited: 23 Jun 2008 08:59
Last Modified: 18 Feb 2020 19:08
Projects: DMS-0308109
Funders: Engineering and Physical Sciences Research Council, Leverhulme Trust, National Science Foundation

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