Estimation of the Parameters of Vector Autoregressive (VAR) Time Series Model with Symmetric Stable Noise

Abstract

In this article, we propose the fractional lower order covariance method (FLOC) for estimating the parameters of vector autoregressive process (VAR) of order $p$, $p\ge 1$ with symmetric stable noise. Further, we show the efficiency, accuracy, and simplicity of our methods through Monte-Carlo simulation.