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arXiv · 1304.5929

Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise

Alexandre Brouste·Chunhao Cai·Marina Kleptsyna
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Abstract

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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Alexandre Brouste, Chunhao Cai, Marina Kleptsyna. 2013-04-22. Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise. https://arxiv.org/abs/1304.5929

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