FARIMA with stable innovations model of Great Salt Lake elevation time series

DOI10.1016/j.sigpro.2010.01.023zbMath1203.94053OpenAlexW2073928785MaRDI QIDQ612642

Hu Sheng, Yang Quan Chen

Publication date: 29 December 2010

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2010.01.023

zbMATH Keywords

Hurst parameterstable distributionFIGARCHFARIMAFARIMA with stable innovationslong-range dependent

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Uses Software

• OxMetrics
• Ox
• longmemo

Cites Work

• Time series: theory and methods
• Characterization of linear and harmonizable fractional stable motions
• Fractional ARIMA with stable innovations
• Modeling and pricing long memory in stock market volatility
• Probability and Random Processes for Electrical and Computer Engineers
• Simple consistent estimators of stable distribution parameters
• Parameter Estimates for Symmetric Stable Distributions
• "Infinite Variance" and Research Strategy in Time Series Analysis
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