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ARMA modelling of economic time series leads to processes with heavy-tailed marginal distribution. We present methods of estimating the system and noise parameters of such processes. Asymptotic properties of the quasi maximum likelihood and partially adaptive estimates are discussed. The results are generalizations of the previous work, and are applicable to derive good approximation formulas for the error of adaptive predictors.
Decision and Control, 2002, Proceedings of the 41st IEEE Conference on (Volume:2 )
Date of Conference: 10-13 Dec. 2002