Spatio-temporal dependence measures for bivariate AR(1) models with -stable noise

DOI10.1111/JTSA.12517zbMATH Open1456.62190OpenAlexW2995906008MaRDI QIDQ5111857FDOQ5111857

Marek Teuerle, Agnieszka Wyłomańska, Grzegorz Sikora, Aleksandra Grzesiek

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12517

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zbMATH Keywords

dependence measurescovariation\(\alpha\)-stable distributionbivariate modelcodifference

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Stable stochastic processes (60G52) Identification in stochastic control theory (93E12)

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Cited In (5)

• 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
• Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes
• Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1

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