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Efficient estimation and variable selection for infinite variance autoregressive models

โœ Scribed by Tang, Linjun; Zhou, Zhangong; Wu, Changchun

Book ID
111655327
Publisher
Springer-Verlag
Year
2012
Tongue
English
Weight
515 KB
Volume
40
Category
Article
ISSN
1598-5865

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Infinite variance processes have attracted growing interest in recent years due to its applications in many areas of statistics (see and references therein). For example, ARIMA timeseries models with infinite variance innovations are widely used in financial modelling. However, a little attention h