Modelling time series when mean and variability both change

Abstract

An extended least-squares method is described which allows us to model the location and scale of a process parametrically without specifying any parametric form for the distribution of the errors. The degree of the associated polynomials is chosen using a step-down method on a table of p-values. A pseudo-likelihood ratio test is given. The concepts of upper… (More)
DOI: 10.1016/j.matcom.2007.01.039

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