Whittle parameter estimation for vector ARMA models with heavy-tailed noises

DOI10.1016/J.JSPI.2021.12.003MaRDI QIDQ2123267zbMATH OpenOpenAlexFDO

Authors Rui She, Zichuan Mi, Shiqing Ling

Publication date 8 April 2022

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2021.12.003

zbMATH Keywords

ARMA modelsheavy-tailed random variableperiodogram processWhittle estimation

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(6)

• Inference for the VEC(1) model with a heavy-tailed linear process errors*
• A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
• Statistical inference for heavy-tailed and partially nonstationary vector ARMA models
• Vector moving average models: a review
• Recursive variational Gaussian approximation with the Whittle likelihood for linear non-Gaussian state space models
• Least squares and adaptive Lasso estimations of AR(p) models with unit roots and heavy-tailed noises

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