Linear prediction of ARMA processes with infinite variance
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Publication:1059970
DOI10.1016/0304-4149(85)90030-4zbMath0567.62082OpenAlexW2086682091WikidataQ127596894 ScholiaQ127596894MaRDI QIDQ1059970
Daren B. H. Cline, Peter J. Brockwell
Publication date: 1985
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(85)90030-4
regular variationinfinite varianceregularly varying tailsstable processlinear predictiontruncationsbest predictorinfinite sumsrelative dispersionerror distributionARMA(p,q)stationary ARMA(1,1) processsymmetric stable white noise
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
- Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
- Linear Problems in Linear Problems inpth Order and Stable Processes
- Regression and autoregression with infinite variance
- Autoregressive processes with infinite variance
- Minimum error dispersion linear filtering of scalar symmetric stable processes
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