Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with -stable noise

DOI10.4064/BC122-8zbMATH Open1466.62384arXiv1911.10894OpenAlexW3129651716MaRDI QIDQ4989148FDOQ4989148

Authors: Aleksandra Grzesiek, Agnieszka Wyłomańska 

Publication date: 20 May 2021

Published in: Banach Center Publications (Search for Journal in Brave)

Abstract: In this paper, we consider a bidimensional autoregressive model of order 1 with $alpha-$stable noise. Since in this case the classical measure of dependence known as the covariance function is not defined, the spatio-temporal dependence structure is described using the alternative measures, namely the codifference and the covariation functions. Here, we investigate the asymptotic relation between these two dependence measures applied to the description of the cross-dependence of the bidimensional model. We demonstrate the case when the dependence measures are asymptotically proportional with the coefficient of proportionality equal to the parameter $alpha$. The theoretical results are supported by illustrating the asymptotic behavior of the dependence measures for two exemplary bidimensional $alpha-$stable AR(1) systems.

Full work available at URL: https://arxiv.org/abs/1911.10894

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zbMATH Keywords

bidimensional autoregressive (AR) model

Mathematics Subject Classification ID

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)

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Cited In (6)

• Measures of cross-dependence for bidimensional periodic AR(1) model with \(\alpha \)-stable distribution
• Autoregressive model with double Pareto distributed noise
• Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise
• Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
• Linnik Lévy process and some extensions
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1

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