Autoregressive sequences via Lévy processes

MaRDI QIDQ2923372zbMATH OpenFDO

Authors Nadjib Bouzar

Publication date 15 October 2014

Published in REVSTAT (Search for Journal in Brave)

Full work available at URL http://www.ine.pt/revstat/pdf/rs100201.pdf

zbMATH Keywords

self-decomposabilitysemigroup of cumulant generating functionsstabilitystationaritytime-reversibility

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(6)

• Random self-decomposability and autoregressive processes
• scientific article; zbMATH DE number 6703664 (Why is no real title available?)
• Structural Laplace Transform and Compound Autoregressive Models
• A Levinson-Durbin recursion for autoregressive-moving average processes
• scientific article; zbMATH DE number 176895 (Why is no real title available?)
• Sample path generation of Lévy-driven continuous-time autoregressive moving average processes

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