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

DOI10.1080/03610926.2019.1612918MaRDI QIDQ5078010zbMATH OpenOpenAlexWikidataFDO

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

continuous-time autoregressive processcorrelation structuredelayed stochastic processinverse of the stable subordinatorLévy noiseMittag-Leffler function

Mathematics Subject Classification ID

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

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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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