Estimation of the parameters of vector autoregressive moving average (VARMA) time series model with symmetric stable noise-Reference-Cited by-同舟云学术

Estimation of the parameters of vector autoregressive moving average (VARMA) time series model with symmetric stable noise

Published:2021-08-24 Issue:2-3 Volume:13 Page:206-214
ISSN:0975-0770
Container-title:International Journal of Advances in Engineering Sciences and Applied Mathematics
language:en
Short-container-title:Int J Adv Eng Sci Appl Math

Author:

Sathe Aastha M.,Chowdhury Raju,Upadhye N. S.^ORCID

Funder

Indian Institute of Technology Madras

Publisher

Springer Science and Business Media LLC

Subject

General Medicine

Link

https://link.springer.com/content/pdf/10.1007/s12572-021-00307-8.pdf

Reference29 articles.

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3. Luetkepohl, H.: Forecasting Cointegrated VARMA Processes, p. 373. Humboldt Universitaet Berlin, Sonderforschungsbereich (2007)

4. Samorodnitsky, G., Taqqu, M.S.: Stable Non-Gaussian Random Processes, Stochastic Models with Infinite Variance, p. 632. Chapman and Hall, New York (1994)

5. Mikosch, T., Gadrich, T., Kluppelberg, C., Adler, R.J.: Parameter estimation for ARMA models with infinite variance innovations. Ann. Stat. 23(1), 305–326 (1995)

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