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

DOI10.1111/J.1467-9892.2012.00815.XzbMATH Open1274.62575OpenAlexW2169326025MaRDI QIDQ2852483FDOQ2852483

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

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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)

Cites Work

• Time series: theory and methods
• Title not available (Why is that?)
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Heavy-Tail Phenomena
• 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 supremum of a negative drift random walk with dependent heavy-tailed steps.
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• Parameter estimation for moving averages with positive innovations
• Estimation for first-order autoregressive processes with positive or bounded innovations
• Limit distributions for linear programming time series estimators
• Bootstrap Inference for a First-Order Autoregression with Positive Innovations
• Nonlinear Autoregression with Positive Innovations
• A Note on Non‐Negative Arma Processes
• Estimation of the autoregression parameter with infinite dispersion of noise
• Estimation for a class of positive nonlinear time series models
• NON-NEGATIVE AUTOREGRESSIVE PROCESSES
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails

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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