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

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

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• Multivariate Markov-switching ARMA processes with regularly varying noise
• A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
• Closed-form expression for finite predictor coefficients of multivariate ARMA processes
• Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise
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• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
• Cross-codifference for bidimensional VAR(1) time series with infinite variance

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