Estimation for non-negative time series with heavy-tail innovations

DOI10.1111/J.1467-9892.2012.00815.XMaRDI QIDQ2852483zbMATH OpenOpenAlexFDO

Authors A. Bartlett, W. P. McCormick

Publication date 9 October 2013

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2012.00815.x

zbMATH Keywords

ARMA processespoint processesregular variationextreme value estimatornon-negative time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• A Note on Non‐Negative Arma Processes
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• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Heavy-Tail Phenomena
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• Limit distributions for linear programming time series estimators
• 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
• NON-NEGATIVE AUTOREGRESSIVE PROCESSES
• Nonlinear Autoregression with Positive Innovations
• Parameter estimation for moving averages with positive innovations
• The supremum of a negative drift random walk with dependent heavy-tailed steps.
• Time series: theory and methods

Cited in

(4)

• Estimation for heavy tailed moving average process.
• Consistency of the Hill estimator for time series observed with measurement errors
• A Discrete-Time Approach for Heavy-Tailed Modeling
• Tail behavior for nonstationary moving averages with random coefficients

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