A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations (2023)
- Authors:
- USP affiliated authors: MORETTIN, PEDRO ALBERTO - IME ; CHEN, SHU WEI CHOU - IME
- Unidade: IME
- DOI: 10.1214/23-BJPS565
- Assunto: ESTATÍSTICA
- Keywords: Locally stationary process; tempered stable distribution; blocked Whittle estimation; two-step estimation
- Agências de fomento:
- Language: Inglês
- Imprenta:
- Source:
- Título do periódico: Brazilian Journal of Probability and Statistics
- ISSN: 0103-0752
- Volume/Número/Paginação/Ano: v. 37, n. 1, p. 155-176, 2023
- Este periódico é de assinatura
- Este artigo NÃO é de acesso aberto
- Cor do Acesso Aberto: closed
-
ABNT
CHOU-CHEN, Shu Wei e MORETTIN, Pedro Alberto. A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations. Brazilian Journal of Probability and Statistics, v. 37, n. 1, p. 155-176, 2023Tradução . . Disponível em: https://doi.org/10.1214/23-BJPS565. Acesso em: 04 jun. 2024. -
APA
Chou-Chen, S. W., & Morettin, P. A. (2023). A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations. Brazilian Journal of Probability and Statistics, 37( 1), 155-176. doi:10.1214/23-BJPS565 -
NLM
Chou-Chen SW, Morettin PA. A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations [Internet]. Brazilian Journal of Probability and Statistics. 2023 ; 37( 1): 155-176.[citado 2024 jun. 04 ] Available from: https://doi.org/10.1214/23-BJPS565 -
Vancouver
Chou-Chen SW, Morettin PA. A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations [Internet]. Brazilian Journal of Probability and Statistics. 2023 ; 37( 1): 155-176.[citado 2024 jun. 04 ] Available from: https://doi.org/10.1214/23-BJPS565 - Indirect inference for locally stationary ARMA processes with stable innovations
- Locally stationary processes with stable and tempered stable innovations
- Stochastic dyadic systems
- Walsh-Fourier transforms
- Utilização de ondaletas em modelos com mudança de regime
- A wavelet analysis for time series
- Special issue on statistical modeling in insurance and finance . [Foreword]
- Introdução à análise espectral de série temporais
- Transformed symmetric generalized autoregressive moving average models
- Forecasting linear combinations of time series
Informações sobre o DOI: 10.1214/23-BJPS565 (Fonte: oaDOI API)
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