Analysis of autoregressive models with symmetric stable innovations |
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Authors: | N Balakrishna |
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Institution: | Department of Statistics, Cochin University of Science and Technology, Cochin, India |
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Abstract: | This paper develops algorithms for fitting autoregressive models with symmetric stable innovations using auto-covariation function. A recursive algorithm is proposed for generalized Yule-Walker estimation of autoregressive coefficients and partial auto-covariation function. It also introduces a new information criterion, useful for consistent order selection. Applications of the proposed methods are illustrated using observations simulated from autoregressive models with symmetric stable innovations as well as by analysing a set of real data. |
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Keywords: | Symmetric stable autoregressive model generalized Yule-Walker estimation partial auto-covariation function information criteria |
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