Recursive estimation for regression with infinite variance fractional ARIMA noise

✍ Scribed by A. Thavaneswaran; S. Peiris

• Publisher: Elsevier Science
• Year: 2001
• Tongue: English
• Weight: 373 KB
• Volume: 34
• Category: Article
• ISSN: 0895-7177
• DOI: 10.1016/s0895-7177(01)00121-2

✦ 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.