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 21 条
  • [1] [Anonymous], 1988, NONLINEAR NONSTATION
  • [2] Box G.E.P., 1976, TIME SERIES ANAL
  • [3] Cryer J.D., 1986, TIME SERIES ANAL, VVolume 286
  • [4] Davies N., 1980, Journal of Time Series Analysis, V1, P103, DOI 10.1111/j.1467-9892.1980.tb00304.x
  • [5] GAVER DP, 1980, ADV APPL PROBAB, V12, P725
  • [6] Granger C. W. J., 1977, FORECASTING EC TIME
  • [7] GRANGER CWJ, 1972, INFINITE VARIANCE RE, V67, P275
  • [8] GRANGER CWJ, 1977, METRIKA, V23, P237
  • [9] GRANGER CWJ, 1979, ECONOMETRICA, V47, P171
  • [10] Hinich MJ, 1982, J TIME SER ANAL, V3, P169, DOI [DOI 10.1111/J.1467-9892.1982.TB00339.X, 10.1111/j.1467-9892.1982.tb00339.x]
123