Infinite variance stable moving averages with long memory
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- Fractional ARIMA with stable innovations
- Fractional differencing
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- INFINITE VARIANCE STABLE ARMA PROCESSES
- Innovations and Wold decompositions of stable sequences
- Linear Problems in Linear Problems inpth Order and Stable Processes
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Cited in
(17)- Discrete time parametric models with long memory and infinite variance
- Asymptotics of empirical processes of long memory moving averages with infinite variance.
- A characterization of mixing processes of type G
- Fast Bayesian estimation for VARFIMA processes with stable errors
- The asymptotic codifference and covariation of log-fractional stable noise
- Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
- Properties of spectral covariance for linear processes with infinite variance
- Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
- Long range dependence for stable random processes
- Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
- SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- Long strange segments, ruin probabilities and the effect of memory on moving average processes
- Iterated generalized counting process and its extensions
- On the multivariate generalized counting process and its time-changed variants
- Extremal correlation coefficient for functional data
- Correlation cascades, ergodic properties and long memory of infinitely divisible processes
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