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

Randal Douc; Paul Doukhan; Eric Moulines

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arXiv · 1210.4739

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

Randal Douc·Paul Doukhan·Eric Moulines

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Abstract

This paper deals with a general class of observation-driven time series models with a special focus on time series of counts. We provide conditions under which there exist strict-sense stationary and ergodic versions of such processes. The consistency of the maximum likelihood estimators is then derived for well- specified and misspecified models.

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Randal Douc, Paul Doukhan, Eric Moulines. 2012-10-22. Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator. https://arxiv.org/abs/1210.4739

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