Whittle parameter estimation for vector ARMA models with heavy-tailed noises
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Reference26 articles.
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1. Inference for the VEC(1) model with a heavy-tailed linear process errors*;Econometric Reviews;2023-07-31
2. A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations;Brazilian Journal of Probability and Statistics;2023-03-01
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