[R-SIG-Finance] Parameters estimation of ARMA with infinite variance using LAD

[Brian G. Peterson]

On Saturday 17 February 2007 08:35, Emmanuel Leclercq wrote:
> I would like to estimate parameters of an ARMA process with infinte
> variance with the method proposed be R. Davis (1995), that is, using
> least absolute deviations. Does anyone know  if there exists any R
> library able to do that ?
>
> thanks in advance
>
> Emmanuel

There are many sets of functions for ARMA/ARIMA in R. Have you looked at 
these to determine if they will be adequate for your needs?

Regards,

   - Brian

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