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
  • [31] Cumulant based harmonic retrieval in mixed colored Gaussian and non-Gaussian ARMA noises
    Li, SH
    Zhu, HW
    CHINESE JOURNAL OF ELECTRONICS, 2001, 10 (02): : 161 - 165
  • [32] SINGULAR-VALUE DECOMPOSITION-BASED MA ORDER DETERMINATION OF NON-GAUSSIAN ARMA MODELS
    ZHANG, XD
    ZHANG, YS
    IEEE TRANSACTIONS ON SIGNAL PROCESSING, 1993, 41 (08) : 2657 - 2664
  • [33] Identification of Non-Gaussian Stochastic System
    Park, Sung-man
    Kwon, O-shin
    Kim, Jin-sung
    Lee, Jong-bok
    Heo, Hoon
    JOURNAL OF DYNAMIC SYSTEMS MEASUREMENT AND CONTROL-TRANSACTIONS OF THE ASME, 2014, 136 (04):
  • [34] Efficient identification of non-Gaussian mixtures
    Zabin, SM
    Furbeck, DS
    IEEE TRANSACTIONS ON COMMUNICATIONS, 2000, 48 (01) : 106 - 117
  • [35] BASIC MODELS OF NON-GAUSSIAN INTERFERENCE
    VENSKAUSKAS, KK
    RUBEL, VA
    TELECOMMUNICATIONS AND RADIO ENGINEERING, 1987, 41-2 (06) : 96 - 97
  • [36] Non-Gaussian models for CoVaR estimation
    Bianchi, Michele Leonardo
    De Luca, Giovanni
    Rivieccio, Giorgia
    INTERNATIONAL JOURNAL OF FORECASTING, 2023, 39 (01) : 391 - 404
  • [37] Non-Gaussian time series models
    Rosenblatt, M
    TIME SERIES ANALYSIS AND APPLICATIONS TO GEOPHYSICAL SYSTEMS, 2004, : 227 - 237
  • [38] Non-Gaussian models in Particle Filters
    Kozierski, Piotr
    Sadalla, Talar
    Horla, Dariusz
    2015 20TH INTERNATIONAL CONFERENCE ON METHODS AND MODELS IN AUTOMATION AND ROBOTICS (MMAR), 2015, : 121 - 126
  • [39] Non-Gaussian models for stochastic mechanics
    Grigoriu, M
    PROBABILISTIC ENGINEERING MECHANICS, 2000, 15 (01) : 15 - 23
  • [40] Non-Gaussian Process Dynamical Models
    Kindap, Yaman
    Godsill, Simon
    IEEE OPEN JOURNAL OF SIGNAL PROCESSING, 2025, 6 : 213 - 221
12345