The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance (Q5062351): Difference between revisions

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scientific article; zbMATH DE number 7490575

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English	The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance	scientific article; zbMATH DE number 7490575

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instance of

scholarly article

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title

The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance (English)

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Mathematica Applicanda

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publication date

15 March 2022

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zbMATH Keywords

autoregressive model

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Student's t-distribution

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estimation

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Monte Carlo simulations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.14708/ma.v48i2.7059

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cites work

PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS

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Parameter Estimation for Periodically Stationary Time Series

0 references

Forecasting with prediction intervals for periodic autoregressive moving average models

0 references

Large Sample Properties of Parameter Estimates for Periodic ARMA Models

0 references

Value‐at‐risk under market shifts through highly flexible models

0 references

Q2734966

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Introduction to Time Series and Forecasting

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Time series: theory and methods.

0 references

Q5312869

0 references

Q4331747

0 references

A method for fitting stable autoregressive models using the autocovariation function

0 references

THE PROBABLE ERROR OF A MEAN

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Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution

0 references

The modified Yule-Walker method for \(\alpha\)-stable time series models

0 references

Fractional lower order covariance based-estimator for Ornstein-Uhlenbeck process with stable distribution

0 references

Robustness of the student t based M-estimator

0 references

Bounded solutions for ARMA model with varying coefficients

0 references

Robust estimation with flexible parametric distributions: estimation of utility stock betas

0 references

Asymptotic behavior of the covariation and the codifference for arma models with stable innovations

0 references

Modeling electricity loads in California: ARMA models with hyperbolic noise

0 references

Multivariate stable ARMA processes with time dependent coefficients

0 references

Q4301585

0 references

Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models

0 references

Q5478309

0 references

Stochastic modeling of currency exchange rates with novel validation techniques

0 references

Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process

0 references

Financial Data and the Skewed Generalized T Distribution

0 references

Some results in periodic autoregression

0 references

Periodic autoregressive model identification using genetic algorithms

0 references

Q4659666

0 references

A Student t-mixture autoregressive model with applications to heavy-tailed financial data

0 references

Q3608185

0 references

Identifiers

zbMATH Open document ID

1499.62097

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DOI

10.14708/ma.v48i2.7059

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5062351

@@ Property / full work available at URL @@
+https://doi.org/10.14708/ma.v48i2.7059
+Normal rank
@@ Property / OpenAlex ID @@
+W3157530744
@@ Property / OpenAlex ID: W3157530744 / rank @@
+Normal rank
@@ Property / cites work @@
+PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
@@ Property / cites work: PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+Parameter Estimation for Periodically Stationary Time Series
+Normal rank
@@ Property / cites work @@
+Forecasting with prediction intervals for periodic autoregressive moving average models
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Parameter Estimates for Periodic ARMA Models
+Normal rank
@@ Property / cites work @@
+Value‐at‐risk under market shifts through highly flexible models
+Normal rank
@@ Property / cites work @@
+Q2734966
@@ Property / cites work: Q2734966 / rank @@
+Normal rank
@@ Property / cites work @@
+Introduction to Time Series and Forecasting
@@ Property / cites work: Introduction to Time Series and Forecasting / rank @@
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+Q5312869
@@ Property / cites work: Q5312869 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4331747
@@ Property / cites work: Q4331747 / rank @@
+Normal rank
@@ Property / cites work @@
+A method for fitting stable autoregressive models using the autocovariation function
+Normal rank
@@ Property / cites work @@
+THE PROBABLE ERROR OF A MEAN
@@ Property / cites work: THE PROBABLE ERROR OF A MEAN / rank @@
+Normal rank
@@ Property / cites work @@
+Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution
+Normal rank
@@ Property / cites work @@
+The modified Yule-Walker method for \(\alpha\)-stable time series models
+Normal rank
@@ Property / cites work @@
+Fractional lower order covariance based-estimator for Ornstein-Uhlenbeck process with stable distribution
+Normal rank
@@ Property / cites work @@
+Robustness of the student t based M-estimator
@@ Property / cites work: Robustness of the student t based M-estimator / rank @@
+Normal rank
@@ Property / cites work @@
+Bounded solutions for ARMA model with varying coefficients
+Normal rank
@@ Property / cites work @@
+Robust estimation with flexible parametric distributions: estimation of utility stock betas
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of the covariation and the codifference for arma models with stable innovations
+Normal rank
@@ Property / cites work @@
+Modeling electricity loads in California: ARMA models with hyperbolic noise
+Normal rank
@@ Property / cites work @@
+Multivariate stable ARMA processes with time dependent coefficients
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
+Normal rank
@@ Property / cites work @@
+Q5478309
@@ Property / cites work: Q5478309 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic modeling of currency exchange rates with novel validation techniques
+Normal rank
@@ Property / cites work @@
+Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process
+Normal rank
@@ Property / cites work @@
+Financial Data and the Skewed Generalized T Distribution
+Normal rank
@@ Property / cites work @@
+Some results in periodic autoregression
@@ Property / cites work: Some results in periodic autoregression / rank @@
+Normal rank
@@ Property / cites work @@
+Periodic autoregressive model identification using genetic algorithms
+Normal rank
@@ Property / cites work @@
+Q4659666
@@ Property / cites work: Q4659666 / rank @@
+Normal rank
@@ Property / cites work @@
+A Student t-mixture autoregressive model with applications to heavy-tailed financial data
+Normal rank
@@ Property / cites work @@
+Q3608185
@@ Property / cites work: Q3608185 / rank @@
+Normal rank