Discrete time parametric models with long memory and infinite variance

DOI10.1016/S0895-7177(99)00103-XzbMath0990.62080MaRDI QIDQ1596879

Murad S. Taqqu, Piotr S. Kokoszka

Publication date: 5 May 2002

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

Mathematics Subject Classification ID

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

Related Items (4)

Sign tests for long-memory time series ⋮ The integrated periodogram for long-memory processes with finite or infinite variance ⋮ Tail index estimation in the presence of long-memory dynamics ⋮ On the measurement and treatment of extremes in time series

Uses Software

• longmemo

Cites Work

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