Identification of ARMA models with non-Gaussian innovations

Kuldeep Kumar*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

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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