%0 Journal Article
%T Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
%A Randal Douc
%A Paul Doukhan
%A Eric Moulines
%J Statistics
%D 2012
%I arXiv
%X 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.
%U http://arxiv.org/abs/1210.4739v2