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Article Dans Une Revue Stochastic Processes and their Applications Année : 2013

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

Résumé

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.

Dates et versions

hal-00833432 , version 1 (12-06-2013)

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Citer

Randal Douc, Paul Doukhan, Éric Moulines. Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator. Stochastic Processes and their Applications, 2013, 123 (7), pp.2620-2647. ⟨10.1016/j.spa.2013.04.010⟩. ⟨hal-00833432⟩
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