Adaptive Student's t-distribution with method of moments moving estimator for nonstationary time series
Jarek Duda · RePEc: Research Papers in Economics · 2023
The real life time series are usually nonstationary, bringing a difficult question of model adaptation. Classical approaches like ARMA-ARCH assume arbitrary type of dependence. To avoid their bias, we will focus on recently proposed agnostic philosophy of moving estimator: in time $t$ finding parameters optimizing e.g. $F_t=\sum_{τ