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

DOI10.1080/03610918.2019.1670840OpenAlexW2978311299MaRDI QIDQ5082898FDOQ5082898

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

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Introduction to Time Series and Forecasting
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• Estimating the codifference function of linear time series models with infinite variance
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• Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
• Bivariate sub-Gaussian model for stock index returns
• Bounded solutions for ARMA model with varying coefficients

Cited In (6)

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

Uses Software

• itsmr

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