Multivariate stable ARMA processes with time dependent coefficients

DOI10.1007/S001840100127zbMath1109.62355OpenAlexW1964770733MaRDI QIDQ1865225

A. Thavaneswaran, M. Shelton Peiris

Publication date: 25 March 2003

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001840100127

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of functional analysis in probability theory and statistics (46N30)

Related Items (8)

Indirect inference for locally stationary ARMA processes with stable innovations ⋮ The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance ⋮ Cross-codifference for bidimensional VAR(1) time series with infinite variance ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations ⋮ A note on the modelling and analysis of vector ARMA processes with nonstationary innovations ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution

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