Estimation of the Parameters of Vector Autoregressive (VAR) Time Series Model with Symmetric Stable Noise
Methodology
2021-04-16 v1
Abstract
In this article, we propose the fractional lower order covariance method (FLOC) for estimating the parameters of vector autoregressive process (VAR) of order , with symmetric stable noise. Further, we show the efficiency, accuracy, and simplicity of our methods through Monte-Carlo simulation.
Keywords
Cite
@article{arxiv.2104.07262,
title = {Estimation of the Parameters of Vector Autoregressive (VAR) Time Series Model with Symmetric Stable Noise},
author = {Aastha M. Sathe and N. S. Upadhye},
journal= {arXiv preprint arXiv:2104.07262},
year = {2021}
}