Indirect inference for locally stationary ARMA processes with stable innovations

DOI10.1080/00949655.2020.1797030MaRDI QIDQ5033462zbMATH OpenOpenAlexWikidataFDO

Authors Shu Wei Chou-Chen, Pedro A. 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 inferencelocally stationary processstable distribution

Mathematics Subject Classification ID

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

Recommendations

• Robust estimation of stationary continuous-time ARMA models via indirect inference
• Indirect inference for locally stationary models
• A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
• Bayesian inference for ARMA model with stable innovations and applications
• Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic behavior of the covariation and the codifference for arma models with stable innovations
• Bayesian inference for vector ARMA models with stable innovations

Cites work

• An iterative procedure for the estimation of the parameters of stable laws
• Empirical spectral processes for locally stationary time series
• Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
• Estimating stable latent factor models by indirect inference
• Fitting time series models to nonstationary processes
• Fractional ARIMA with stable innovations
• scientific article; zbMATH DE number 1639862 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 843191 (Why is no real title available?)
• scientific article; zbMATH DE number 3260110 (Why is no real title available?)
• Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
• Indirect Estimation of α-Stable Distributions and Processes
• INFINITE VARIANCE STABLE ARMA PROCESSES
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• Multivariate stable ARMA processes with time dependent coefficients
• On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
• Parameter estimation for ARMA models with infinite variance innovations
• Simple consistent estimators of stable distribution parameters
• Time series analysis: Methods and applications
• Time series: theory and methods.

Cited in

(1)

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

This page was built for publication: Indirect inference for locally stationary ARMA processes with stable innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5033462)