Parameter estimation and dependence characterization of the MAR(1) process
Ferreira, Marta
ProbStat Forum, 5(12) (2012), 107-111
http://probstat.org.in/PSF-2012-12.pdf
Classical linear ARMA with normal distributed noises are not suitable for heavy tailed phenomena. MARMA processes obtained by replacing summation by the maximum operator are more appropriate. We consider unit Fréchet first order MARMA, denoted MAR(1), and present a characterization based on ordinal autocorrelation. An estimator of the model's parameter and respective consistency and asymptotic normality properties are also stated.
|
