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Rissanen, J.; Caines, P. E.

The strong consistency of maximum likelihood estimators for ARMA processes. (English) Zbl 0406.62018

Ann. Stat. 7, 297-315 (1979).
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Cited in 10 Documents

MSC:

62F10 Point estimation
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction
62M09 Non-Markovian processes: estimation
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)

Keywords:

Strong Consistency; Maximum Likelihood Estimators; Multivariate Gaussian Stochastic Processes; Autoregressive Moving Average Representations; Ergodic Theorem; Linear Prediction
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