Infinite variance stable moving averages with long memory
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Publication:1922360
DOI10.1016/0304-4076(95)01734-8zbMath0857.62087OpenAlexW2064773114MaRDI QIDQ1922360
Murad S. Taqqu, Piotr S. Kokoszka
Publication date: 2 March 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01734-8
time serieslong memorycovariationmeasures of dependencecodifferenceinfinite variance moving averagesregularly varying coefficientsstable non-Gaussian innovations
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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