IDENTIFICATION OF ARMA MODELS WITH NON-GAUSSIAN INNOVATIONS

被引：1
|
作者：
KUMAR, K [1 ]
机构：
[1] NATL UNIV SINGAPORE,DEPT ECON & STAT,SINGAPORE 0511,SINGAPORE
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1992年 / 21卷 / 04期
关键词：
D O I：
10.1080/03610929208830837
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The problem of modelling time series driven by non-Gaussian innovation has been considered recently by Li and McLeod (1988). In this paper we have discussed the problem of identification of ARMA models with non-Gaussian innovations. Simulation experiments are used to study the applicability of theoretical results.
引用
收藏
页码：1145 / 1161
页数：17
相关论文
共 50 条
12345