Yao, Qiwei; Brockwell, Peter J. - In: Journal of Time Series Analysis 27 (2006) 6, pp. 857-875
We provide a direct proof for consistency and asymptotic normality of Gaussian maximum likelihood estimators for causal and invertible autoregressive moving-average (ARMA) time series models, which were initially established by Hannan [Journal of Applied Probability (1973) vol. 10, pp. 130-145]...