Infinite variance stable Gegenbauer ARFISMA models

DOI10.16929/AS/2021.2789.184MaRDI QIDQ2138255zbMATH OpenFDO

Authors Filamory Abraham Michael Keita, Ouagnina Hili, Serge-Hippolyte Arnaud Kanga

Publication date 11 May 2022

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/afrika-statistika/volume-16/issue-3/Infinite-Variance-Stable-Gegenbaeur-Arfisma-Models/10.16929/as/2021.2789.184.full

zbMATH Keywords

long memoryGegenbauer polynomialscyclic time seriesalpha stable distributionseasonal process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Stable stochastic processes (60G52)

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Cites work

• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• A NOTE ON THE THRESHOLD AR(1) MODEL WITH CAUCHY INNOVATIONS
• A generalized fractionally differencing approach in long-memory modeling
• A k-Factor GARMA Long-memory Model
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Estimating seasonal long-memory processes: a Monte Carlo study
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• Estimation for seasonal fractional ARIMA with stable innovations via the empirical characteristic function method
• Estimation of the characteristic exponent of stable laws
• Fractional ARIMA with stable innovations
• Fractional differencing
• Limiting distributions of least squares estimates of unstable autoregressive processes
• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• Parameter estimation for ARMA models with infinite variance innovations
• Semiparametric inference in seasonal and cyclical long memory processes

Cited in

(1)

• The \(k\)-factor GARMA process with infinite variance innovations

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