Identification of ARMA models with non-Gaussian innovations

Kuldeep Kumar

doi:10.1080/03610929208830837

Identification of ARMA models with non-Gaussian innovations

Kuldeep Kumar^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › Research › peer-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 language	English
Pages (from-to)	1145-1161
Number of pages	17
Journal	Communications in Statistics - Theory and Methods
Volume	21
Issue number	4
DOIs	https://doi.org/10.1080/03610929208830837
Publication status	Published - 1992
Externally published	Yes

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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",

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EP - 1161

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

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ER -

Identification of ARMA models with non-Gaussian innovations

Abstract

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