Diagnostic checking in linear processes with infinite variance
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Publication:1600532
DOI10.1016/S0895-7177(01)00120-0zbMATH Open1003.62074MaRDI QIDQ1600532FDOQ1600532
Publication date: 13 June 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
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- Time series: theory and methods.
- A Method for Simulating Stable Random Variables
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Modeling asset returns with alternative stable distributions*
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample covariance and correlation functions of moving averages
- The asymptotic null distribution of the Box-Pierce \(\mathcal Q\)-statistic for random variables with infinite variance. An application to German stock returns
Cited In (2)
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