The asymptotic codifference and covariation of log-fractional stable noise

DOI10.1016/J.JECONOM.2014.02.006MaRDI QIDQ2451783zbMATH OpenOpenAlexFDO

Authors Joshua B. Levy, Murad S. Taqqu

Publication date 4 June 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2014.02.006

zbMATH Keywords

\(\alpha\)-stable distributionsasymptotic dependencefractional stable noiselong-range dependence

Mathematics Subject Classification ID

Stable stochastic processes (60G52)

Recommendations

• The long-range dependence of linear log-fractional stable motion
• Infinite variance stable moving averages with long memory
• On the codifference of linear fractional stable motion
• On modes of long-range dependence
• Measures of Dependence for Infinite Variance Distributions

Cites work

• DEPENDENCE STRUCTURE OF A RENEWAL-REWARD PROCESS WITH INFINITE VARIANCE
• Estimating the codifference function of linear time series models with infinite variance
• Fractional ARIMA with stable innovations
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1944320 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• Log-fractional stable processes
• Long Range Dependence
• Long-memory stable {O}rnstein-{U}hlenbeck processes
• Long-Term Memory in Stock Market Prices
• Stable Paretian models in finance
• The asymptotic dependence behavior of Ornstein-Uhlenbeck semi-stable processes
• The asymptotic dependence structure of the linear fractional Lévy motion
• The dependence structure of log-fractional stable noise with analogy to fractional Gaussian noise
• The long-range dependence of linear log-fractional stable motion

Cited in

(7)

• Codifference as a practical tool to measure interdependence
• The long-range dependence of linear log-fractional stable motion
• Mixed-norm spaces and prediction of \(\mathrm{S}\alpha\mathrm{S}\) moving averages
• On the codifference of linear fractional stable motion
• Robustness of the \(R/S\) statistic for fractional stable noises
• Long-range dependence and heavy tail characteristics for remaining useful life prediction in rolling bearing degradation
• Extremal correlation coefficient for functional data

This page was built for publication: The asymptotic codifference and covariation of log-fractional stable noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2451783)