Gaussian maximum likelihood estimation for ARMA models I: time series

We provide a direct proof for consistency and asymptotic normality of Gaussian maximum likelihood estimators for causal and invertible ARMA time series models, which were initially established by Hannan (1973) via the asymptotic properties of a Whittle's estimator. This also paves the way to establish a similar results for spatial processes presented in the follow-up paper Yao and Brockwell (2001).

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Year of publication:	2006-11
Authors:	Yao, Qiwei ; Brockwell, Peter J
Institutions:	London School of Economics (LSE)
Subject:	ARMA time series models \| asymptotic normality \| consistency \| Gaussian maximum likelihood estimator \| innovation algorithm \| martingale difference \| prewhitening

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	Published in Journal of Time Series Analysis, November, 2006, 27(6), pp. 857-875. ISSN: 0143-9782
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011126410