Estimating the codifference function of linear time series models with infinite variance
DOI10.1007/S00184-009-0285-9zbMATH Open1213.62143OpenAlexW2105166888MaRDI QIDQ537535FDOQ537535
Publication date: 20 May 2011
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-009-0285-9
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Order identification for Gaussian moving averages using the codifference function
Cited In (15)
- Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model
- Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise
- Testing for independence in heavy-tailed time series using the codifference function
- Stable continuous-time autoregressive process driven by stable subordinator
- The asymptotic codifference and covariation of log-fractional stable noise
- Inference for vast dimensional elliptical distributions
- Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
- Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation
- Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise
- Bivariate sub-Gaussian model for stock index returns
- Estimation of the impulse response coefficients of a linear process with infinite variance
- Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
- Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- Cross-codifference for bidimensional VAR(1) time series with infinite variance
Uses Software
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