Estimation of the Parameters of Vector Autoregressive (VAR) Time Series Model with Symmetric Stable Noise

04/15/2021 ∙ by Aastha M. Sathe, et al. ∙ 0

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

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