✦ LIBER ✦

Parameter estimation for a misspecified arma model with infinite variance innovations

✍ Scribed by C. Klüppelberg; T. Mikosch

Publisher: Springer US
Year: 1996
Tongue: English
Weight: 292 KB
Volume: 78
Category: Article
ISSN: 1573-8795
DOI: 10.1007/bf02367956

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Smoothed estimates for models with rando

Smoothed estimates for models with random coefficients and infinite variance innovations

✍ A Thavaneswaran; S Peiris 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 575 KB

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

Gauss-Newton and M-estimation for ARMA p

Gauss-Newton and M-estimation for ARMA processes with infinite variance

✍ Richard A. Davis 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 818 KB

Maximum likelihood estimators in regress

Maximum likelihood estimators in regression models with infinite variance innovations

✍ Vygantas Paulaauskas; Svetlozar T. Rachev 📂 Article 📅 2003 🏛 Springer-Verlag 🌐 English ⚖ 1014 KB

Parameter estimation for ARMA processes

Parameter estimation for ARMA processes with errors in models

✍ Han-Fu Chen; Claude Deniau 📂 Article 📅 1994 🏛 Elsevier Science 🌐 English ⚖ 476 KB

Order of convergence of regression param

Order of convergence of regression parameter estimates in models with infinite variance

✍ A Le Breton; M Musiela 📂 Article 📅 1989 🏛 Elsevier Science 🌐 English ⚖ 450 KB

Estimation in a model with infinite-dime

Estimation in a model with infinite-dimensional nuisance parameter

✍ V. N. Solev; F. Haghighi 📂 Article 📅 2006 🏛 Springer US 🌐 English ⚖ 349 KB