Adaptive stable distribution and Hurst exponent by method of moments moving estimator for nonstationary time series

Jarek Duda

Papers from arXiv.org

Abstract: Nonstationarity of real-life time series requires model adaptation. In classical approaches like ARMA-ARCH there is assumed some arbitrarily chosen dependence type. To avoid their bias, we will focus on novel more agnostic approach: moving estimator, which estimates parameters separately for every time $t$: optimizing $F_t=\sum_{\tau

Date: 2025-05
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2506.05354 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2506.05354

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().