Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator-Reference-Cited by-同舟云学术

Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator

Published:2013-07 Issue:7 Volume:123 Page:2620-2647
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Douc R.,Doukhan P.,Moulines E.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference22 articles.

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3. R. Davis, H. Liu, Theory and inference for a class of observation-driven models with application to time series of counts, 2012, Preprint. arXiv:1204.3915.

4. Iterated random functions;Diaconis;SIAM Rev.,1999

5. On weak dependence conditions for Poisson autoregressions;Doukhan;Statist. Probab. Lett.,2012

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