Recently, there has been a growing interest in modeling financial time series using fractional ARIMA models with stable innovations; see, for example, [l]. In this paper; the corresponding nonparametric problem for regression with fractional ARIMA noise is studied. A recursive algorithm for estimati
โฆ LIBER โฆ
Consistency for least squares regression estimators with infinite variance data
โ Scribed by Daren B.H. Cline
- Publisher
- Elsevier Science
- Year
- 1989
- Tongue
- English
- Weight
- 911 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0378-3758
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Difficulties of identification for multivariable controlled autoregressive moving average (ARMA) systems lie in that there exist unknown noise terms in the information vector, and the iterative identification can be used for the system with unknown terms in the information vector. By means of the hi