Estimating the codifference function of linear time series models with infinite variance
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Publication:537535
DOI10.1007/S00184-009-0285-9zbMATH Open1213.62143OpenAlexW2105166888MaRDI QIDQ537535FDOQ537535
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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Cites work
- scientific article; zbMATH DE number 1249686 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1139949 (Why is no real title available?)
- scientific article; zbMATH DE number 2170891 (Why is no real title available?)
- A Method for Simulating Stable Random Variables
- A goodness-of-fit test of simple hypotheses based on the empirical characteristic function
- Asymptotic behavior of the covariation and the codifference for arma models with stable innovations
- Can one see \(\alpha\)-stable variables and processes?
- ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
- Empirical Characteristic Function Estimation and Its Applications
- Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
- INFINITE VARIANCE STABLE ARMA PROCESSES
- Identification of moving average process with infinite variance
- Order identification for Gaussian moving averages using the codifference function
- Rates of convergence for the empirical distribution function and the empirical characteristic function of a broad class of linear processes
- Stable Paretian models in finance
- Testing the stable Paretian assumption
Cited in
(17)- Codifference as a practical tool to measure interdependence
- Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model
- Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
- Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with \(\alpha \)-stable noise
- Stable continuous-time autoregressive process driven by stable subordinator
- Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise
- Inference for vast dimensional elliptical distributions
- Testing for independence in heavy-tailed time series using the codifference function
- Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation
- Estimation of the impulse response coefficients of a linear process with infinite variance
- The asymptotic codifference and covariation of log-fractional stable noise
- Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
- Cross-codifference for bidimensional VAR(1) time series with infinite variance
- Measures of cross-dependence for bidimensional periodic AR(1) model with \(\alpha \)-stable distribution
- Bivariate sub-Gaussian model for stock index returns
- The asymptotic property of the sample generalized codifference function of stable MA(1)
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
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