Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator

DOI10.1080/03610926.2019.1612918OpenAlexW2941107890WikidataQ127938493 ScholiaQ127938493MaRDI QIDQ5078010FDOQ5078010

Authors: I. Papić, Nikolai N. Leonenko 

Publication date: 20 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://orca.cardiff.ac.uk/121914/1/dCAR_19_03_20.pdf

zbMATH Keywords

Mittag-Leffler functioncorrelation structurecontinuous-time autoregressive processLévy noisedelayed stochastic processinverse of the stable subordinator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistics (62-XX) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

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Cited In (2)

• On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
• STATIONARITY OF DELAYED SUBORDINATORS

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