scientific article; zbMATH DE number 934079

MaRDI QIDQ4895037zbMATH OpenFDO

Authors Piotr Kokoszka

Publication date 24 February 1997

zbMATH Keywords

rate of decayindex of stabilityalpha-stable lawARIMA time series

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) General second-order stochastic processes (60G12)

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Cited in

(14)

• Periodic moving averages of random variables with regularly varying tails
• Strictly stationary solutions of ARMA equations with fractional noise
• Mixed-norm spaces and prediction of \(\mathrm{S}\alpha\mathrm{S}\) moving averages
• Discrete time parametric models with long memory and infinite variance
• The integrated periodogram for long-memory processes with finite or infinite variance
• Best linear prediction for \(\alpha \)-stable random processes
• On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes
• Semi-parametric estimation of long-range dependence index in infinite variance time series.
• Limit theorems for linear random fields with innovations in the domain of attraction of a stable law
• Linear prediction of ARMA processes with infinite variance
• On the prediction of \(p\)-stationary processes
• Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach
• Identification and validation of stable ARFIMA processes with application to UMTS data
• Fractional absolute moments of heavy tailed distributions

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