Autoregressive model with double Pareto distributed noise

DOI10.14708/MA.V51I1.7221MaRDI QIDQ6200055zbMATH OpenOpenAlexFDO

Authors Agnieszka Wyłomańska

Publication date 29 February 2024

Published in Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14708/ma.v51i1.7221

zbMATH Keywords

autoregressive modeldouble Pareto distributionmaximum likelihood estimationMonte Carlo simulations

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stationary stochastic processes (60G10)

Recommendations

• scientific article; zbMATH DE number 7353822
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• Time series models in non-normal situation: symmetric innovations
• Pareto processes
• scientific article; zbMATH DE number 4109901

Cites work

• A bootstrap method to test for the existence of finite moments
• Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with \(\alpha \)-stable noise
• Continuous time autoregressive models with common stochastic trends
• Cross-codifference for bidimensional VAR(1) time series with infinite variance
• Fractional lower order covariance based-estimator for Ornstein-Uhlenbeck process with stable distribution
• scientific article; zbMATH DE number 3539473 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• Introduction to Time Series and Forecasting
• Measures of cross-dependence for bidimensional periodic AR(1) model with -stable distribution
• Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
• Parameter Estimation for Periodically Stationary Time Series
• Parameter estimation for the double Pareto distribution
• Periodic autoregressive model identification using genetic algorithms
• Recurrence properties of autoregressive processes with super-heavy-tailed innovations
• Some results in periodic autoregression
• Stable continuous-time autoregressive process driven by stable subordinator
• Testing for (in)finite moments
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• The modified Yule-Walker method for \(\alpha\)-stable time series models

This page was built for publication: Autoregressive model with double Pareto distributed noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6200055)