Discrete time parametric models with long memory and infinite variance

DOI10.1016/S0895-7177(99)00103-XMaRDI QIDQ1596879zbMATH OpenFDO

Authors Murad S. Taqqu, Piotr Kokoszka

Publication date 5 May 2002

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0895-7177(99)00103-X

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Fractional ARIMA with stable innovations
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• INFINITE VARIANCE STABLE ARMA PROCESSES
• Infinite variance stable moving averages with long memory
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Modeling asset returns with alternative stable distributions^*
• Parameter estimation for ARMA models with infinite variance innovations
• Parameter estimation for infinite variance fractional ARIMA
• Stable distributions for asset returns
• Stable Paretian Random Functions and the Multiplicative Variation of Income
• Statistical methods in finance
• The asymptotic theory of linear time-series models

Cited in

(15)

• Parameter estimation for infinite variance fractional ARIMA
• The integrated periodogram for long-memory processes with finite or infinite variance
• Variance-type estimation of long memory
• Whittle estimator for finite-variance non-Gaussian time series with long memory
• Parameter estimation for ARMA models with infinite variance innovations
• Perfect simulation of autoregressive models with infinite memory
• A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies
• Sign tests for long-memory time series
• scientific article; zbMATH DE number 4163965 (Why is no real title available?)
• A Discrete-Time Approach for Heavy-Tailed Modeling
• Tail index estimation in the presence of long-memory dynamics
• On the measurement and treatment of extremes in time series
• Semi-parametric estimation of long-range dependence index in infinite variance time series.
• Parameter estimation for a misspecified arma model with infinite variance innovations
• Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory

Describes a project that uses

Uses Software

• longmemo

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