Indirect inference for locally stationary ARMA processes with stable innovations

dc.creatorChou Chen, Shu Wei
dc.creatorMorettin, Pedro A.
dc.date.accessioned2023-04-19T19:32:45Z
dc.date.available2023-04-19T19:32:45Z
dc.date.issued2020
dc.description.abstractThe 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 innovations into stable distributions and the indirect inference to estimate this type of model. Due to the infinite variance, some of interesting properties such as time-varying autocorrelation cannot be defined. However, since the α-stable family of distributions is closed under linear combination which includes the possibility of handling asymmetry and thicker tails, the proposed model has the same tail behaviour throughout the time. In this paper, we propose this new model, present theoretical properties of the process and carry out simulations related to the indirect inference in order to estimate the parametric form of the model. Finally, an empirical application is illustrated.es_ES
dc.description.procedenceUCR::Vicerrectoría de Docencia::Ciencias Sociales::Facultad de Ciencias Económicas::Escuela de Estadísticaes_ES
dc.identifier.doi10.1080/00949655.2020.1797030
dc.identifier.issn1563-5163
dc.identifier.urihttps://hdl.handle.net/10669/89109
dc.language.isoenges_ES
dc.rightsacceso abierto
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.sourceJournal of Statistical Computation and Simulation, vol.90 (17), pp.1-31.es_ES
dc.subjectSTATISTICAL INFERENCEes_ES
dc.subjectSTATISTICSes_ES
dc.titleIndirect inference for locally stationary ARMA processes with stable innovationses_ES
dc.typeartículo originales_ES

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