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Recursive consistent estimation with bounded noise

โœ Scribed by Rangan, S.; Goyal, V.K.

Book ID
114541824
Publisher
IEEE
Year
2001
Tongue
English
Weight
330 KB
Volume
47
Category
Article
ISSN
0018-9448

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Recursive estimation for regression with
Recursive estimation for regression with infinite variance fractional ARIMA noise
โœ A. Thavaneswaran; S. Peiris ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 373 KB

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