Lieberman, Offer; Rosemarin, Roy; Rousseau, Judith - In: Econometric Theory 28 (2012) 02, pp. 457-470
Consistency, asymptotic normality, and efficiency of the maximum likelihood estimator for stationary Gaussian time series were shown to hold in the short memory case by Hannan (1973, <italic>Journal of Applied Probability</italic> 10, 130–145) and in the long memory case by Dahlhaus (1989, <italic>Annals of Statistics</italic>...
