DocumentCode
391293
Title
Two-step estimation of misspecified, non-Gaussian ARMA processes
Author
Gerencsér, László ; Michaletzky, György ; Reppa, Zoltàn
Volume
2
fYear
2002
fDate
10-13 Dec. 2002
Firstpage
1826
Abstract
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.
Keywords
adaptive estimation; autoregressive moving average processes; probability; time series; economic time series; noise parameters; nonGaussian ARMA processes; partially adaptive estimates; quasi maximum likelihood; two-step estimation; Economic forecasting; Gaussian processes; Hydrology; Least squares approximation; Linear systems; Maximum likelihood estimation; Parameter estimation; Robustness; Stock markets; Technological innovation;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2002, Proceedings of the 41st IEEE Conference on
ISSN
0191-2216
Print_ISBN
0-7803-7516-5
Type
conf
DOI
10.1109/CDC.2002.1184789
Filename
1184789
Link To Document