Recursive estimation for regression with infinite variance fractional ARIMA noise

DOI10.1016/S0895-7177(01)00121-2zbMATH Open1003.62075OpenAlexW2091610825MaRDI QIDQ1600533FDOQ1600533

Shelton Peiris, A. Thavaneswaran

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00121-2

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zbMATH Keywords

noiseregressioninnovationrecursive estimationheavy-tailslong memorystable distributionsfractional ARIMA

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Fractional ARIMA with stable innovations
• Parameter estimation for infinite variance fractional ARIMA
• Title not available (Why is that?)
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• Autoregressive processes with infinite variance
• Nonparametric estimation for some nonlinear models
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• "Infinite Variance" and Research Strategy in Time Series Analysis
• Least absolute deviation estimates in autoregression with infinite variance
• Minimum error dispersion linear filtering of scalar symmetric stable processes
• Estimation of the Parameters of the Moving Average in the Case of Infinite Variance
• Estimation for regression with infinite variance errors
• A note on Model Reference Adaptive System (MRAS) estimate with infinite variance

Cited In (3)

• MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS
• Smoothed estimates for models with random coefficients and infinite variance innovations
• Estimation for regression with infinite variance errors

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