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

infinite variancedependence measurecross-covariancecodifference\(\alpha\)-stable sub-Gaussian

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise
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• 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
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• Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
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• Portfolio selection with stable distributed returns
• Properties of certain symmetric stable distributions
• Propriétés locales des fonctions à séries de Fourier aléatoires
• Some path properties of pth order and symmetric stable processes
• Stable Paretian models in finance
• Sub-Gaussian random variables
• Testing for independence in heavy-tailed time series using the codifference function

Cited in

(7)

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

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