Identification of ARMA models with non-Gaussian innovations

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1 Citation (Scopus)

Abstract

The problem of modelling ime 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.

Original languageEnglish
Pages (from-to)1145-1161
Number of pages17
JournalCommunications in Statistics - Theory and Methods
Volume21
Issue number4
DOIs
Publication statusPublished - 1992
Externally publishedYes

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ARMA Model
Simulation Experiment
Series
Modeling
Innovation

Cite this

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title = "Identification of ARMA models with non-Gaussian innovations",
abstract = "The problem of modelling ime 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.",
author = "Kuldeep Kumar",
year = "1992",
doi = "10.1080/03610929208830837",
language = "English",
volume = "21",
pages = "1145--1161",
journal = "Communications in Statistics - Theory and Methods",
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}

Identification of ARMA models with non-Gaussian innovations. / Kumar, Kuldeep.

In: Communications in Statistics - Theory and Methods, Vol. 21, No. 4, 1992, p. 1145-1161.

Research output: Contribution to journalArticleResearchpeer-review

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