Gaussian maximum likelihood estimation for ARMA models. I. Time series

Yao, Qiwei ORCID: 0000-0003-2065-8486 and Brockwell, Peter J (2006) Gaussian maximum likelihood estimation for ARMA models. I. Time series. Journal of Time Series Analysis, 27 (6). 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
Official URL:	https://onlinelibrary.wiley.com/journal/14679892
Additional Information:	© 2006 The Authors
Divisions:	Statistics
Subjects:	H Social Sciences > HA Statistics
Date Deposited:	08 Jul 2014 08:32
Last Modified:	29 Oct 2024 05:39
Projects:	DMS0308109
Funders:	Leverhulme Trust, National Science Foundation
URI:	http://eprints.lse.ac.uk/id/eprint/57580

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