scientific article; zbMATH DE number 1301876

MaRDI QIDQ4247102zbMATH OpenFDO

Authors Robert J. Adler, Colin M. Gallagher, Raisa Epstein Feldman

Publication date 11 October 2000

zbMATH Keywords

converging variance test model identificationhistogramquantilestime seriesWhittle estimator

Mathematics Subject Classification ID

Graphical methods in statistics (62A09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(15)

• Identification and validation of stable ARFIMA processes with application to UMTS data
• Least tail-trimmed absolute deviation estimation for autoregressions with infinite/finite variance
• Analysing interrupted time series with a control
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• Identification of moving average process with infinite variance
• Estimation and tests for power-transformed and threshold GARCH models
• Modeling growth stocks via birth-death processes
• Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model
• Analysis of autoregressive models with symmetric stable innovations
• H-convergence result for nonlocal elliptic-type problems via Tartar's method
• Model identification for infinite variance autoregressive processes
• AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT
• A method for fitting stable autoregressive models using the autocovariation function
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
• Testing for independence in heavy-tailed time series using the codifference function

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