Identifying infinite variance arma models using a robust pukk1la koreisha kallinen strategy
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Publication:3125799
DOI10.1080/03610929608831884zbMath0887.62092MaRDI QIDQ3125799
Publication date: 17 February 1998
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610929608831884
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Cites Work
- Linear prediction of ARMA processes with infinite variance
- M-estimation for autoregression with infinite variance
- ARMA model identification
- Parameter estimation for ARMA models with infinite variance innovations
- On the use of autoregressive order determination criteria in univariate white noise tests
- RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
- Model selection for infinite variance time series