Recursive estimation for regression with infinite variance fractional ARIMA noise

DOI10.1016/S0895-7177(01)00121-2MaRDI QIDQ1600533zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran, 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

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)

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Cites work

• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• "Infinite Variance" and Research Strategy in Time Series Analysis
• A note on Model Reference Adaptive System (MRAS) estimate with infinite variance
• Autoregressive processes with infinite variance
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Estimation for regression with infinite variance errors
• Estimation of the Parameters of the Moving Average in the Case of Infinite Variance
• Fractional ARIMA with stable innovations
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• Least absolute deviation estimates in autoregression with infinite variance
• Minimum error dispersion linear filtering of scalar symmetric stable processes
• Nonparametric estimation for some nonlinear models
• Parameter estimation for infinite variance fractional ARIMA

Cited in

(4)

• Recursive estimation of time-average variance constants through prewhitening
• Smoothed estimates for models with random coefficients and infinite variance innovations
• Estimation for regression with infinite variance errors
• MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS

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