Identification of moving average process with infinite variance

DOI10.1016/J.SPL.2007.02.014zbMATH Open1128.62102OpenAlexW2025644595MaRDI QIDQ2467384FDOQ2467384

Dedi Rosadi

Publication date: 21 January 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.02.014

Recommendations

• Order identification for Gaussian moving averages using the codifference function
• scientific article; zbMATH DE number 1799342
• Publication:5751797
• Limit theory for the sample covariance and correlation functions of moving averages
• Model identification for infinite variance autoregressive processes

zbMATH Keywords

order identificationsample normalized co-difference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Time series: theory and methods.
• Title not available (Why is that?)
• ARMA model identification
• Limit theory for the sample covariance and correlation functions of moving averages
• Title not available (Why is that?)
• Simple consistent estimators of stable distribution parameters
• ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION

Cited In (5)

• Estimating the codifference function of linear time series models with infinite variance
• Sign estimates in moving average models with infinite variance
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Uses Software

• R

This page was built for publication: Identification of moving average process with infinite variance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2467384)