Recursive estimation for regression with infinite variance fractional ARIMA noise

被引：0
|
作者：
Thavaneswaran, A [1 ]
Peiris, S
机构：
[1] Univ Manitoba, Dept Stat, Winnipeg, MB R3T 2N2, Canada
[2] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia
来源：
MATHEMATICAL AND COMPUTER MODELLING | 2001年 / 34卷 / 9-11期
基金：
加拿大自然科学与工程研究理事会;
关键词：
nonparametric estimation; stable distributions; heavy-tails; long memory; fractional ARIMA; recursive estimation; innovation; noise; regression;
D O I：
10.1016/S0895-7177(01)00121-2
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
Recently, there has been a growing interest in modeling financial time series using fractional ARIMA models with stable innovations; see, for example, [1]. 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. (C) 2001 Elsevier Science Ltd. All rights reserved.
引用
收藏
页码：1133 / 1137
页数：5
相关论文
共 50 条
  • [31] Estimation for seasonal fractional ARIMA with stable innovations via the empirical characteristic function method
    Ndongo, Mor
    Diongue, Abdou Ka
    Diop, Aliou
    Dossou-Gbete, Simplice
    STATISTICS, 2016, 50 (02) : 298 - 311
  • [32] Kernel estimation for quadratic functional of long memory linear processes with infinite variance
    Liu, Hui
    Xu, Fangjun
    JOURNAL OF NONPARAMETRIC STATISTICS, 2024,
  • [33] Local M-estimation for Conditional Variance in Heteroscedastic Regression Models
    Wang, Yunyan
    Tang, Mingtian
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2015, 44 (01) : 48 - 62
  • [34] Fractional gaussian noise: Spectral density and estimation methods
    Shi, Shuping
    Yu, Jun
    Zhang, Chen
    JOURNAL OF TIME SERIES ANALYSIS, 2024,
  • [35] DISTRIBUTED RECURSIVE ESTIMATION UNDER HEAVY-TAIL COMMUNICATION NOISE*
    Jakovetic, Dusan
    Vukovic, Manojlo
    Bajovic, Dragana
    Sahu, Anit Kumar
    Kar, Soummya
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2023, 61 (03) : 1582 - 1609
  • [36] Recursive maximum likelihood estimation with t-distribution noise model
    Sun, Lu
    Ho, Weng Khuen
    Ling, Keck Voon
    Chen, Tengpeng
    Maciejowski, Jan
    AUTOMATICA, 2021, 132 (132)
  • [37] REGRESSION FUNCTION AND NOISE VARIANCE TRACKING METHODS FOR DATA STREAMS WITH CONCEPT DRIFT
    Jaworski, Maciej
    INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS AND COMPUTER SCIENCE, 2018, 28 (03) : 559 - 567
  • [38] Noise Estimation in DSL Systems using Linear Regression
    Farias, F. S.
    Borges, G. S.
    Monteiro, W. B.
    Silva, D. L. L.
    Costa, J. C. W. A.
    2013 INTERNATIONAL CONFERENCE ON ADVANCED TECHNOLOGIES FOR COMMUNICATIONS (ATC), 2013, : 291 - 294
  • [39] LEAST ABSOLUTE DEVIATION ESTIMATION FOR GENERAL ARMA TIME SERIES MODELS WITH INFINITE VARIANCE
    Wu, Rongning
    STATISTICA SINICA, 2011, 21 (02) : 779 - 805
  • [40] Recursive Least Squares Method of Regression Coefficients Estimation as a Special Case of Kalman Filter
    Borodachev, S. M.
    PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON NUMERICAL ANALYSIS AND APPLIED MATHEMATICS 2015 (ICNAAM-2015), 2016, 1738
12345