Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise
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Publication:4989148
DOI10.4064/bc122-8zbMath1466.62384arXiv1911.10894OpenAlexW3129651716MaRDI QIDQ4989148
Aleksandra Grzesiek, Agnieszka Wyłomańska
Publication date: 20 May 2021
Published in: Banach Center Publications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.10894
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series analysis of dynamical systems (37M10)
Related Items (4)
Linnik Lévy process and some extensions ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ Autoregressive model with double Pareto distributed noise ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
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