IDENTIFICATION OF ARMA MODELS WITH NON-GAUSSIAN INNOVATIONS

被引：1

作者：

KUMAR, K ^{[1
]}

机构：

[1] NATL UNIV SINGAPORE,DEPT ECON & STAT,SINGAPORE 0511,SINGAPORE

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1992年 / 21卷 / 04期

关键词：

D O I：

10.1080/03610929208830837

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The problem of modelling time series driven by non-Gaussian innovation has been considered recently by Li and McLeod (1988). In this paper we have discussed the problem of identification of ARMA models with non-Gaussian innovations. Simulation experiments are used to study the applicability of theoretical results.

引用

页码：1145 / 1161

页数：17

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