Recursive estimation for regression with infinite variance fractional ARIMA noise

DOI10.1016/S0895-7177(01)00121-2zbMath1003.62075OpenAlexW2091610825MaRDI QIDQ1600533

A. Thavaneswaran, M. Shelton Peiris

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

zbMATH Keywords

noiselong memorystable distributionsheavy-tailsregressioninnovationrecursive estimationfractional 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

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• Estimation of the Parameters of the Moving Average in the Case of Infinite Variance
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Autoregressive processes with infinite variance
• Minimum error dispersion linear filtering of scalar symmetric stable processes
• Least absolute deviation estimates in autoregression with infinite variance
• A note on Model Reference Adaptive System (MRAS) estimate with infinite variance
• "Infinite Variance" and Research Strategy in Time Series Analysis

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