Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise (Q4989148): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Spectral covariance and limit theorems for random fields with infinite variance / rank
 
Normal rank
Property / cites work
 
Property / cites work: A method for fitting stable autoregressive models using the autocovariation function / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio Value-at-Risk with Heavy-Tailed Risk Factors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Cross-codifference for bidimensional VAR(1) time series with infinite variance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with <i>α</i>‐Stable Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bivariate sub-Gaussian model for stock index returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate geometric stable distributions in financial applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long-memory stable {O}rnstein-{U}hlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5202791 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2709279 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Data analysis for heavy tailed multivariate samples / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic behavior of the covariation and the codifference for arma models with stable innovations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4385066 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ornstein--Uhlenbeck Process with Non-Gaussian Structure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate stable distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing for independence in heavy-tailed time series using the codifference function / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating the codifference function of linear time series models with infinite variance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4301585 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3417687 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5673119 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The nth Power of a 2 × 2 Matrix / rank
 
Normal rank
Property / cites work
 
Property / cites work: Codifference as a practical tool to measure interdependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3717907 / rank
 
Normal rank

Latest revision as of 19:20, 25 July 2024

scientific article; zbMATH DE number 7350398
Language Label Description Also known as
English
Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise
scientific article; zbMATH DE number 7350398

    Statements

    Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise (English)
    0 references
    20 May 2021
    0 references
    bidimensional autoregressive (AR) model
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references