Parameters estimation of ARMA with infinite variance using LAD
On Saturday 17 February 2007 08:35, Emmanuel Leclercq wrote:
I would like to estimate parameters of an ARMA process with infinte variance with the method proposed be R. Davis (1995), that is, using least absolute deviations. Does anyone know ?if there exists any R library able to do that ? thanks in advance Emmanuel
There are many sets of functions for ARMA/ARIMA in R. Have you looked at these to determine if they will be adequate for your needs? Regards, - Brian
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