NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE

DOI10.1111/J.1467-9892.1993.TB00146.XzbMATH Open0768.62087OpenAlexW2060355715MaRDI QIDQ5285836FDOQ5285836

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

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

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)

Cites Work

• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• Title not available (Why is that?)
• Autoregressive processes with infinite variance
• Linear prediction of ARMA processes with infinite variance
• Inference for Near-Integrated Time Series With Infinite Variance
• "Infinite Variance" and Research Strategy in Time Series Analysis
• Least absolute deviation estimates in autoregression with infinite variance
• Minimum error dispersion linear filtering of scalar symmetric stable processes
• A note on nonstationary arma processes with infinite variance

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 \(q\)th-order autocorrelation innovation
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• Title not available (Why is that?)
• Empirical processes for infinite variance autoregressive models
• Title not available (Why is that?)

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