Model identification for infinite variance autoregressive processes
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Cites work
- scientific article; zbMATH DE number 1639862 (Why is no real title available?)
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 3755718 (Why is no real title available?)
- scientific article; zbMATH DE number 1301876 (Why is no real title available?)
- scientific article; zbMATH DE number 1301891 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1089177 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A Simplex Method for Function Minimization
- A method for fitting stable autoregressive models using the autocovariation function
- A new identification algorithm for allpass systems by higher-order statistics
- Consistency of Araike's information criterion for infinite variance autoregressive processes
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Least absolute deviation estimation for all-pass time series models
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample covariance and correlation functions of moving averages
- M-estimation for autoregression with infinite variance
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Maximum likelihood estimation for all-pass time series models
- Maximum likelihood estimation for noncausal autoregressive processes
- More limit theory for the sample correlation function of moving averages
- Numerical calculation of stable densities and distribution functions
- On estimating noncausal nonminimum phase ARMA models of non-Gaussian processes
- On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
- Parametric cumulant based phase estimation of 1-D and 2-D nonminimum phase systems by allpass filtering
- Rank-based estimation for all-pass time series models
- Selection of the order of an autoregressive model by Akaike's information criterion
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
- The estimation of the order of an ARMA process
- Time series: theory and methods.
- Unimodality of infinitely divisible distribution functions of class L
Cited in
(15)- scientific article; zbMATH DE number 4186934 (Why is no real title available?)
- Whittle parameter estimation for vector ARMA models with heavy-tailed noises
- On same-realization prediction in an infinite-order autoregressive process.
- Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
- Inference in heavy-tailed vector error correction models
- A Gini-based time series analysis and test for reversibility
- Discrete variable stochastic approximation procedures and recursive autoregressive model identification
- Noncausal autoregressive model in application to Bitcoin/USD exchange rates
- Diagnostic tests for non-causal time series with infinite variance
- Identification of moving average process with infinite variance
- Mixed causal-noncausal AR processes and the modelling of explosive bubbles
- scientific article; zbMATH DE number 1396194 (Why is no real title available?)
- Heavy tails of OLS
- Empirical processes for infinite variance autoregressive models
- Misspecification of noncausal order in autoregressive processes
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