Cross-codifference for bidimensional VAR(1) time series with infinite variance

DOI10.1080/03610918.2019.1670840MaRDI QIDQ5082898zbMATH OpenOpenAlexFDO

Authors Aleksandra Grzesiek, Marek Teuerle, Agnieszka Wyłomańska

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.02142

zbMATH Keywords

\(\alpha\)-stable sub-Gaussiancodifferencecross-covariancedependence measureinfinite variance

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise
• Estimating the codifference function of linear time series models with infinite variance
• Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
• Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with \(\alpha \)-stable noise
• Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients

Cites work

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Cited in

(7)

• Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with \(\alpha \)-stable noise
• Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise
• Estimating the codifference function of linear time series models with infinite variance
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
• Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors
• Autoregressive model with double Pareto distributed noise
• Cross-codifference for bidimensional VAR(1) models with infinite variance

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