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Register a new userAsymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
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Added by
Marina Kleptsyna
Publication date
2013
fields
Mathematical Statistics
and research's language is
English
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In this paper we are interested in the Maximum Likelihood Estimator (MLE) of the vector parameter of an autoregressive process of order $p$ with regular stationary Gaussian noise. We exhibit the large sample asymptotical properties of the MLE under very mild conditions. Simulations are done for fractional Gaussian noise (fGn), autoregressive noise (AR(1)) and moving average noise (MA(1)).
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