Listar Matemática por autor "Morettin, Pedro A."
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A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
Chou Chen, Shu Wei; Morettin, Pedro A. (2023-03)The class of locally stationary processes assumes a time-varying (tv) spectral representation and finite second moment. Different areas have observed phenomena with heavy tail distributions or infinite variance. Using ... -
Indirect inference for locally stationary ARMA processes with stable innovations
Chou Chen, Shu Wei; Morettin, Pedro A. (2020)The class of locally stationary processes assumes that there is a time-varying spectral representation, that is, the existence of finite second moment. We propose the α-stable locally stationary process by modifying the ...