Can One Use the Durbin–Levinson Algorithm to Generate Infinite Variance Fractional ARIMA Time Series?

DOI10.1111/1467-9892.00226zbMath0978.62082OpenAlexW1999442563MaRDI QIDQ2740038

Murad S. Taqqu, Piotr S. Kokoszka

Publication date: 16 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00226

zbMATH Keywords

simulationslong-range dependencestable distributionsfractional differencing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15)

Related Items (5)

The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks ⋮ Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model ⋮ Subsampling the mean of heavy‐tailed dependent observations ⋮ Szegő's theorem and its probabilistic descendants ⋮ Bootstrap tests for structural change with infinite variance observations

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