Multivariate stable ARMA processes with time dependent coefficients

DOI10.1007/S001840100127MaRDI QIDQ1865225zbMATH OpenOpenAlexFDO

Authors Shelton Peiris, A. Thavaneswaran

Publication date 25 March 2003

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001840100127

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Review text

This paper considers the class of m -variate autoregressive moving average (ARMA) processes with stable innovations and time dependent coefficients. A set of suitable AR and MA regularity conditions is given to ensure existence and uniqueness of valid solutions. A simple form of the above solution is expressed in terms of one sided Green's matrix functions associated with the AR operator. We solve the prediction problem arising in this class of models. A few examples are added to support the general theory.

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