Abstract
In this paper we study the Maximum Likelihood Estimator (MLE) of the vector parameter of an autoregressive process of order p with regular stationary Gaussian noise. We prove the large sample asymptotic properties of the MLE under very mild conditions. We do simulations for fractional Gaussian noise (fGn), autoregressive noise (AR(1)) and moving average noise (MA(1)).
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Brouste, A., Cai, C. & Kleptsyna, M. Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise. Math. Meth. Stat. 23, 103–115 (2014). https://doi.org/10.3103/S1066530714020021
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DOI: https://doi.org/10.3103/S1066530714020021