Recursive estimation for regression with infinite variance fractional ARIMA noise

Authors:
A. Thavaneswaran;S. Peiris
Affiliations:
Department of Statistics, University of Manitoba Winnipeg, Manitoba, Canada R3T 2N2;School of Mathematics and Statistics The University of Sydney N.S.W. 2006, Australia
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
2001

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Estimation for regression with infinite variance errors

Mathematical and Computer Modelling: An International Journal

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Abstract

Recently, there has been a growing interest in modeling financial timeseries using fractional ARIMA models with stable innovations; see, for example, [1]. In this paper, the corresponding nonparametric problem for regression with fractional ARIMA noise is studied. A recursive algorithm for estimating time varying parameters is given. It is also shown that a number of existing algorithms are special case of this proposed algorithm.