Estimation of the parameters of vector autoregressive moving average (VARMA) time series model with symmetric stable noise
Published in International Journal of Advances in Engineering Sciences and Applied Mathematics, 2021
Article Description
This article propose the fractional lower-order covariance method (FLOC) for estimating the parameters of vector autoregressive moving average process (VARMA) of order p, q ≥ 1 such that with symmetric stable noise. Further, we show the efficiency, accuracy and simplicity of our methods through Monte Carlo simulation.