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

R. Douc, P. Doukhan and E. Moulines

Stochastic Processes and their Applications, 2013, vol. 123, issue 7, 2620-2647

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.

Keywords: Consistency; Ergodicity; Time series of counts; Maximum likelihood; Observation-driven models; Stationarity (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:7:p:2620-2647

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DOI: 10.1016/j.spa.2013.04.010

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