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Recursive estimation for regression with infinite variance fractional ARIMA noise

โœ Scribed by A. Thavaneswaran; S. Peiris


Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
373 KB
Volume
34
Category
Article
ISSN
0895-7177

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โœฆ Synopsis


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 estimating time varying parameters is given. It is also shown that a number of existing algorithms are special cases of this proposed algorithm.


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