Asymptotic behavior of the covariation and the codifference for arma models with stable innovations
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Publication:4371850
DOI10.1080/15326349708807446zbMath0935.62101OpenAlexW2029850314MaRDI QIDQ4371850
Publication date: 8 May 2000
Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349708807446
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The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance ⋮ Fractional Lévy stable motion time-changed by gamma subordinator ⋮ Cross-codifference for bidimensional VAR(1) time series with infinite variance ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations ⋮ Modeling anomalous diffusion by a subordinated fractional Lévy-stable process ⋮ Estimating the codifference function of linear time series models with infinite variance ⋮ Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients ⋮ Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise
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