INFINITE VARIANCE STABLE ARMA PROCESSES
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Publication:4299019
DOI10.1111/j.1467-9892.1994.tb00185.xzbMath0804.62082MaRDI QIDQ4299019
Murad S. Taqqu, Piotr S. Kokoszka
Publication date: 19 January 1995
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00185.x
characteristic function; covariance; dependence structure; asymptotic dependence; exact asymptotic behavior; ARMA(p,q) process; exponentially decaying function; alpha-stable innovations; stable non- anticipating ARMA process
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
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