INFINITE VARIANCE STABLE ARMA PROCESSES

DOI10.1111/j.1467-9892.1994.tb00185.xzbMath0804.62082OpenAlexW2049035602MaRDI 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

zbMATH Keywords

characteristic functioncovariancedependence structureasymptotic dependenceexact asymptotic behaviorARMA(p,q) processexponentially decaying functionalpha-stable innovationsstable non- anticipating ARMA process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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