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Estimation of the parameters of vector autoregressive moving average (VARMA) time series model with symmetric stable noise

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Abstract

In this article, we propose the fractional lower-order covariance method (FLOC) for estimating the parameters of vector autoregressive moving average process (VARMA) of order p, q such that \(p, q\ge 1\) with symmetric stable noise. Further, we show the efficiency, accuracy and simplicity of our methods through Monte Carlo simulation.

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Authors and Affiliations

  1. Department of Mathematics, Centre of Excellence in Computational Mathematics and Data Science, Indian Institute of Technology Madras, Chennai, 600036, India

    Aastha M. Sathe, Raju Chowdhury & N. S. Upadhye

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  1. Aastha M. Sathe
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  2. Raju Chowdhury
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  3. N. S. Upadhye
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Correspondence to N. S. Upadhye.

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Sathe, A.M., Chowdhury, R. & Upadhye, N.S. Estimation of the parameters of vector autoregressive moving average (VARMA) time series model with symmetric stable noise. Int J Adv Eng Sci Appl Math 13, 206–214 (2021). https://doi.org/10.1007/s12572-021-00307-8

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