Properties of spectral covariance for linear processes with infinite variance

DOI10.1007/s10986-014-9242-zzbMath1327.60044OpenAlexW1984462569MaRDI QIDQ406614

Julius Damarackas, Vygantas Paulauskas

Publication date: 8 September 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-014-9242-z

zbMATH Keywords

stochastic integralsmeasures of dependencerandom linear processesstable random vectors

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random fields (60G60) Stable stochastic processes (60G52)

Related Items (8)

Spectral covariance and limit theorems for random fields with infinite variance ⋮ Some remarks on definitions of memory for stationary random processes and fields ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ Series representation of jointly \(S \alpha S\) distribution via symmetric covariations ⋮ Stable limits for associated regularly varying sequences ⋮ Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation ⋮ Long range dependence for stable random processes

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