Gauss-Newton and M-estimation for ARMA processes with infinite variance (Q1272156)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Gauss-Newton and M-estimation for ARMA processes with infinite variance |
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Gauss-Newton and M-estimation for ARMA processes with infinite variance (English)
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23 November 1998
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The author considers two estimation procedures, Gauss-Newton and M-estimation, for the parameters of an ARMA(\(p,q\)) process when the innovations belong to the domain of attraction of a non-normal stable distribution. It is shown that the Gauss-Newton and iterative least squares estimators have the same limit distribution as the maximum likelihood and Whittle estimators. The weak convergence for a class of M-estimators is also established. A small simulation study documents the performance of the studied estimators for finite sample sizes.
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Gauss-Newton estimate
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heavy tails
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stable distributions
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M-estimation
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ARMA processes
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