Whittle parameter estimation for vector ARMA models with heavy-tailed noises

DOI10.1016/J.JSPI.2021.12.003OpenAlexW4200595930MaRDI QIDQ2123267

Zichuan Mi, Rui She, Shiqing Ling

Publication date: 8 April 2022

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2021.12.003

zbMATH Keywords

ARMA modelsWhittle estimationheavy-tailed random variableperiodogram process

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Inference for the VEC(1) model with a heavy-tailed linear process errors* ⋮ A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations

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