Fractional ARIMA with stable innovations

DOI10.1016/0304-4149(95)00034-8zbMath0846.62066OpenAlexW2087727472MaRDI QIDQ1909951

Murad S. Taqqu, Piotr S. Kokoszka

Publication date: 3 October 1996

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00034-8

zbMATH Keywords

existenceinvertibilitycovariationmoving averageasymptotic dependence structurecodifferencefractionally differenced ARIMA time seriessymmetric alpha stable processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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