A method for fitting stable autoregressive models using the autocovariation function
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Publication:5952107
DOI10.1016/S0167-7152(01)00041-4zbMath0982.62075MaRDI QIDQ5952107
Publication date: 7 April 2002
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Related Items (20)
Revealing Some Unexpected Dependence Properties of Linear Combinations of Stable Random Variables Using Symmetric Covariation ⋮ The modified Yule-Walker method for \(\alpha\)-stable time series models ⋮ TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA ⋮ The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance ⋮ Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes ⋮ Stable Autoregressive Models and Signal Estimation ⋮ Cross-codifference for bidimensional VAR(1) time series with infinite variance ⋮ Diagnostic tests for non-causal time series with infinite variance ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ Forecasting of symmetric \(\alpha\)-stable autoregressive models by time series approach supported by artificial neural networks ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ Analysis of autoregressive models with symmetric stable innovations ⋮ Estimating the tail conditional expectation of Walmart stock data ⋮ Misspecification of noncausal order in autoregressive processes ⋮ Model identification for infinite variance autoregressive processes ⋮ Thek-factor GARMA Process with Infinite Variance Innovations ⋮ A Cauchy estimator test for autocorrelation ⋮ Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise ⋮ Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models
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- How misleading can sample ACFs of stable MAs be? (Very!)
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