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Identification of arma models with non-gaussian innovations
Authors:Kuldeep Kumar
Affiliation:Department of Economics and Statistics , National University of Singapore , 10,Kent Ridge Crescent, 0511, Singapore
Abstract: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.
Keywords:ARMA models  non-gaussian innovation  third and fourth order moments  model identification
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