Analysis of autoregressive models with symmetric stable innovations. Issue 2 (4th March 2018)

• Record Type: Journal Article
• Authors: Balakrishna, N.; Hareesh, G.
• Is Part Of: Statistics. Volume 52:Issue 2(2018)
• Page Start: 288
• Page End: 302
• Publication Date: 2018-03-04
• Subjects: Symmetric stable autoregressive model -- generalized Yule-Walker estimation -- partial auto-covariation function -- information criteria; 37M10 -- 60G52; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2017.1397155
• Languages: English
• ISSNs: 0233-1888

Abstract

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.