Estimation of the Parameter of a pARMAX Model
Max-autoregressive models for time series data are useful when we want to make inference about rare events, mainly in areas like hydrology, geophysics and finance. In fact, they are more convenient for analysis than heavy-tailed ARMA, as their finite-dimensional distributions can easily be written...
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2010-11-01
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| Series: | Revstat Statistical Journal |
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| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/94 |