Estimation of the parameters of vector autoregressive moving average (VARMA) time series model with symmetric stable noise

被引：1

作者：

Sathe, Aastha M. ^{[1
]}

Chowdhury, Raju ^{[1
]}

Upadhye, N. S. ^{[1
]}

机构：

[1] Indian Inst Technol Madras, Dept Math, Ctr Excellence Computat Math & Data Sci, Chennai 600036, Tamil Nadu, India

来源：

INTERNATIONAL JOURNAL OF ADVANCES IN ENGINEERING SCIENCES AND APPLIED MATHEMATICS | 2021年 / 13卷 / 2-3期

关键词：

VARMA model; Stable distributions; Parameter estimation; Simulation; DEPENDENCE;

D O I：

10.1007/s12572-021-00307-8

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In this article, we propose the fractional lower-order covariance method (FLOC) for estimating the parameters of vector autoregressive moving average process (VARMA) of order p, q such that p, q >= 1 with symmetric stable noise. Further, we show the efficiency, accuracy and simplicity of our methods through Monte Carlo simulation.

引用

页码：206 / 214

页数：9

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