Indirect inference for locally stationary ARMA processes with stable innovations

DOI10.1080/00949655.2020.1797030OpenAlexW3044046749WikidataQ122112603 ScholiaQ122112603MaRDI QIDQ5033462

Shu Wei Chou-Chen, Pedro Alberto Morettin

Publication date: 23 February 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.11715

zbMATH Keywords

indirect inferencestable distributionlocally stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics (62-XX) Parametric inference and fuzziness (62F86)

Related Items

A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations

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