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

DOI10.1080/03610918.2019.1670840OpenAlexW2978311299MaRDI QIDQ5082898

Agnieszka Wyłomańska, Aleksandra Grzesiek, Marek Teuerle

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)

Related Items

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 ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Autoregressive model with double Pareto distributed noise ⋮ Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise

Uses Software

• itsmr

Cites Work

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