Analysing Stable Time Series
Robert J. Adler, Raisa Epstein Feldman, Colin Gallagher · 1997
We describe how to take a stable, ARMA, time series through the various stages of model identi cation, parameter estimation, and diagnostic checking, and accompany the discussion with a goodly number of large scale simulations that show which methods do and do not work, and where some of the pitfalls and problems associated with stable time series modelling lie. 1.