| Article ID: | iaor2004899 |
| Country: | Netherlands |
| Volume: | 34 |
| Issue: | 9/11 |
| Start Page Number: | 1133 |
| End Page Number: | 1137 |
| Publication Date: | Nov 2001 |
| Journal: | Mathematical and Computer Modelling |
| Authors: | Thavaneswaran A., Peiris S. |
| Keywords: | finance & banking, stochastic processes |
Recently, there has been a growing interest in modeling financial time series using fractional ARIMA models with stable innovations. In this paper, the corresponding nonparametric problem for regression with fractional ARIMA noise is studied. A recursive algorithm for estimating time varying parameters is given. It is also shown that a number of existing algorithms are special cases of this proposed algorithm.