Timeline for Vector Autoregressive Model: residual's kurtosis proportional to number of lags?
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Aug 2, 2015 at 8:42 | comment | added | Richard Hardy | Or perhaps you could try different distributional assumptions if the software you are using allows for that. In R, package "rugarch" has a broad selection of distribution assumptions for ARFIMA models; since ARIMA is just a special case of ARFIMA, it should work. | |
| Aug 2, 2015 at 8:33 | comment | added | Richard Hardy | I have never heard of a phenomenon that residual kurtosis is supposed to increase with the number of lags. That might be a coincidence. An answer by Rob J Hyndman here and a comment by Zachary Blumenfeld here (with a link to back up the claim) state that normality is not necessary asymptotically, so perhaps could could ignore it. | |
| Aug 2, 2015 at 7:48 | history | edited | Richard Hardy | CC BY-SA 3.0 |
added 17 characters in body; edited tags
|
| S Jul 1, 2015 at 14:00 | history | suggested | Learner | CC BY-SA 3.0 |
edited the body, added a tag
|
| Jul 1, 2015 at 13:41 | review | Suggested edits | |||
| S Jul 1, 2015 at 14:00 | |||||
| Jul 1, 2015 at 13:31 | review | First posts | |||
| Jul 1, 2015 at 13:41 | |||||
| Jul 1, 2015 at 13:30 | history | asked | noclue11 | CC BY-SA 3.0 |