NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE

DOI10.1111/J.1467-9892.1993.TB00146.XMaRDI QIDQ5285836zbMATH OpenOpenAlexFDO

Authors Dankit K. Nassiuma

Publication date 29 June 1993

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1993.tb00146.x

zbMATH Keywords

parameter estimationstable distributionsinfinite variancestable innovations\(h\)-steps-ahead forecast errorlambda-stationaritylinear forecastsnon-stationary autoregressive moving-average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• Non-stationary autoregressive processes with infinite variance
• The nonstatioary INAR(1) process with moving average components
• On parameters estimation of stationary \(AR(1)\) with nonzero mean alpha-stable innovations in the case \(\alpha\in]1,2]\)
• Non-Gaussian autoregressive moving average processes.
• Parameter estimation for ARMA models with infinite variance innovations

Cites work

• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• "Infinite Variance" and Research Strategy in Time Series Analysis
• A note on nonstationary arma processes with infinite variance
• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• Autoregressive processes with infinite variance
• Inference for Near-Integrated Time Series With Infinite Variance
• Least absolute deviation estimates in autoregression with infinite variance
• Linear prediction of ARMA processes with infinite variance
• Minimum error dispersion linear filtering of scalar symmetric stable processes

Cited in

(12)

• Non-Stationary Samples and Meta-Distribution
• Non-stationary autoregressive processes with infinite variance
• The nonstatioary INAR(1) process with moving average components
• Non-Gaussian autoregressive moving average processes.
• A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
• On parameters estimation of stationary \(AR(1)\) with nonzero mean alpha-stable innovations in the case \(\alpha\in]1,2]\)
• Estimation for non-negative time series with heavy-tail innovations
• Nonstationary INAR(1) process with qth-order autocorrelation innovation
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• scientific article; zbMATH DE number 6703664 (Why is no real title available?)
• Empirical processes for infinite variance autoregressive models
• scientific article; zbMATH DE number 5713719 (Why is no real title available?)

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