"Infinite Variance" and Research Strategy in Time Series Analysis
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Publication:5647773
DOI10.2307/2284369zbMATH Open0237.62056OpenAlexW4213203640MaRDI QIDQ5647773FDOQ5647773
Authors: Clive W. J. Granger, Daniel Orr 
Publication date: 1972
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2284369
Cited In (23)
- FARIMA with stable innovations model of Great Salt Lake elevation time series
- Calculation of multidimensional stable densities
- Recursive estimation for regression with infinite variance fractional ARIMA noise
- Inference for some time series models with random coefficients and infinite variance innovations
- The impact of fat-tailed distributions on some leading unit roots tests
- ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY
- SYMMETRIC STABLE SEQUENCES WITH MISSING OBSERVATIONS
- Regularization and variable selection for infinite variance autoregressive models
- A PROCEDURE FOR OBTAINING M-ESTIMATES IN REGRESSION MODELS WITH SERIALLY DEPENDENT ERRORS
- A note on nonstationary arma processes with infinite variance
- Identification of arma models with non-gaussian innovations
- Moments of Markov switching models
- Modeling the coupled return-spread high frequency dynamics of large tick assets
- Inference for conditional value-at-risk of a predictive regression
- Model selection for infinite variance time series
- Simulation analysis of threshold autoregressive unit root tests
- New robust inference for predictive regressions
- NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE
- Estimation for regression with infinite variance errors
- Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
- Window estimates of location and scale with applications to the Cauchy distribution
- Guaranteed parameter estimation in a first order autoregressive progress with infinite variance
- On the properties of the coefficient of determination in regression models with infinite variance variables
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