On Quotients of Moving Average Processes with Infinite Mean

DOI10.2307/2041620MaRDI QIDQ4142396zbMATH OpenOpenAlexFDO

Authors Marek Kanter

Publication date 1976

Full work available at URL https://doi.org/10.2307/2041620

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Strong limit theorems (60F15) Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A Note on Sums of Independent Random Variables with Infinite First Moment
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• Regression and autoregression with infinite variance

Cited in

(2)

• Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance
• RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS

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