Spectral estimates and stable processes

DOI10.1016/0304-4149(93)90021-UzbMath0779.60023MaRDI QIDQ689470

Thomas Mikosch, Claudia Klüppelberg

Publication date: 19 January 1994

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

zbMATH Keywords

characteristic function; stable laws; moving average process; periodogram; stable processes; general linear model; spectral estimate

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

60F05: Central limit and other weak theorems

60G10: Stationary stochastic processes

62M15: Inference from stochastic processes and spectral analysis

Related Items

Modelling of extremal events in insurance and finance, Large sample theory for statistics of stable moving averages, Guaranteed detection of an imbalance instant of the GARCH-process, Gauss-Newton and M-estimation for ARMA processes with infinite variance, The periodogram at the Fourier frequencies, The maximum of the periodogram for a heavy-tailed sequence., Fractional ARIMA with stable innovations, Gaussian limit fields for the integrated periodogram

Cites Work

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