A method for fitting stable autoregressive models using the autocovariation function

DOI10.1016/S0167-7152(01)00041-4MaRDI QIDQ5952107zbMATH OpenFDO

Authors Colin M. Gallagher

Publication date 7 April 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(01)00041-4

zbMATH Keywords

autocovariationautoregressiontime series

Mathematics Subject Classification ID

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

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Cites work

• Generalized portmanteau statistics and tests of randomness
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• How misleading can sample ACFs of stable MAs be? (Very!)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 1301876 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Limit theory for the sample covariance and correlation functions of moving averages
• Linear Problems in Linear Problems inpth Order and Stable Processes
• Simple consistent estimators of stable distribution parameters
• The asymptotic null distribution of the Box-Pierce Q-statistic for random variables with infinite variance. An application to German stock returns

Cited in

(22)

• The modified Yule-Walker method for \(\alpha\)-stable time series models
• Misspecification of noncausal order in autoregressive processes
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• The k-factor GARMA process with infinite variance innovations
• Stable autoregressive models and signal estimation
• Revealing Some Unexpected Dependence Properties of Linear Combinations of Stable Random Variables Using Symmetric Covariation
• A Gini autocovariance function for time series modelling
• Diagnostic tests for non-causal time series with infinite variance
• TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA
• Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with \(\alpha \)-stable noise
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• Cross-codifference for bidimensional VAR(1) time series with infinite variance
• Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise
• Measures of cross-dependence for bidimensional periodic AR(1) model with -stable distribution
• Analysis of autoregressive models with symmetric stable innovations
• Estimating the conditional tail expectation of Walmart stock data
• A Cauchy estimator test for autocorrelation
• Model identification for infinite variance autoregressive processes
• Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
• Forecasting of symmetric \(\alpha\)-stable autoregressive models by time series approach supported by artificial neural networks
• Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model

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