Spectral estimates and stable processes

DOI10.1016/0304-4149(93)90021-UzbMATH Open0779.60023OpenAlexW2048291892MaRDI QIDQ689470FDOQ689470

Authors: Claudia Klüppelberg, T. Mikosch 

Publication date: 19 January 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90021-u

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zbMATH Keywords

characteristic functiongeneral linear modelperiodogrammoving average processstable processesstable lawsspectral estimate

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

Cites Work

• Time series: theory and methods
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• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Limit theory for the sample covariance and correlation functions of moving averages
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• Prediction of stable processes: Spectral and moving average representations
• Harmonizable stable processes
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• Extrema of skewed stable processes
• Discrete-time stable processes and their certain properties
• A weak invariance principle with applications to domains of attraction
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• Some Structure Theorems for the Symmetric Stable Laws

Cited In (26)

• The \(k\)-factor GARMA process with infinite variance innovations
• Discriminant analysis for dynamics of stable processes
• Large sample theory for statistics of stable moving averages
• Title not available (Why is that?)
• Estimation of Additive Error in Mixed Spectra for Stable Processes
• Non-stationary autoregressive processes with infinite variance
• Title not available (Why is that?)
• Spectral analysis of stable processes on the positive half-line
• Fractional ARIMA with stable innovations
• Title not available (Why is that?)
• The divisible sandpile with heavy-tailed variables
• Eigenvalues and Eigenfunctions for Stable Processes
• The maximum of the periodogram for a heavy-tailed sequence.
• Higher-order spectral analysis and weak asymptotic stability of convex processes
• Cluster analysis for stable processes
• On spectral and random measures associated to discrete and continuous-time processes
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• Guaranteed detection of an imbalance instant of the GARCH-process
• An empirical likelihood approach for symmetric \(\alpha\)-stable processes
• The periodogram at the Fourier frequencies
• Modelling of extremal events in insurance and finance
• Gaussian limit fields for the integrated periodogram
• Estimation of stable spectral measures
• Empirical likelihood approach toward discriminant analysis for dynamics of stable processes
• Random spectral measure for non Gaussian moving averages
• On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes

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