Qiwei Yao, London School of Economics
Peter J. Brockwell, Colorado State University
Abstract
We provide a direct proof for consistency and asymptotic normality of Gaussian maximum likelihood estimators for causal and invertible ARMA time series models, which were initially established by Hannan (1973) via the asymptotic properties of a Whittle's estimator. This also paves the way to establish a similar results for spatial processes presented in the follow-up paper Yao and Brockwell (2001).