Abstract
The strong consistency of the maximum likelihood parameter estimation method is established for multivariate Gaussian stochastic processes possessing autoregressive moving average (ARMA) representations. The demonstration in this paper exploits the ergodic theorem together with results from linear prediction theory.
Citation
J. Rissanen. P. E. Caines. "The Strong Consistency of Maximum Likelihood Estimators for ARMA Processes." Ann. Statist. 7 (2) 297 - 315, March, 1979. https://doi.org/10.1214/aos/1176344615
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