Spectral estimates and stable processes
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Recommendations
- scientific article; zbMATH DE number 720759
- Stable limits of empirical processes of moving averages with infinite variance.
- Spectral density estimation for stationary stable processes
- Limit theorems for stable processes with application to spectral density estimation
- Robustness of the autoregressive spectral estimate for linear processes with infinite variance
Cites work
- scientific article; zbMATH DE number 3775877 (Why is no real title available?)
- scientific article; zbMATH DE number 3504208 (Why is no real title available?)
- scientific article; zbMATH DE number 3796897 (Why is no real title available?)
- scientific article; zbMATH DE number 3806590 (Why is no real title available?)
- scientific article; zbMATH DE number 3440485 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
- A weak invariance principle with applications to domains of attraction
- Discrete-time stable processes and their certain properties
- Extrema of skewed stable processes
- Harmonizable stable processes
- 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
- Prediction of stable processes: Spectral and moving average representations
- Some Structure Theorems for the Symmetric Stable Laws
- Time series: theory and methods
Cited in
(26)- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- The maximum of the periodogram for a heavy-tailed sequence.
- Guaranteed detection of an imbalance instant of the GARCH-process
- An empirical likelihood approach for symmetric \(\alpha\)-stable processes
- Non-stationary autoregressive processes with infinite variance
- The periodogram at the Fourier frequencies
- Estimation of Additive Error in Mixed Spectra for Stable Processes
- Large sample theory for statistics of stable moving averages
- The \(k\)-factor GARMA process with infinite variance innovations
- Gaussian limit fields for the integrated periodogram
- Random spectral measure for non Gaussian moving averages
- Higher-order spectral analysis and weak asymptotic stability of convex processes
- The divisible sandpile with heavy-tailed variables
- scientific article; zbMATH DE number 88743 (Why is no real title available?)
- Cluster analysis for stable processes
- Fractional ARIMA with stable innovations
- Modelling of extremal events in insurance and finance
- scientific article; zbMATH DE number 720759 (Why is no real title available?)
- Empirical likelihood approach toward discriminant analysis for dynamics of stable processes
- On spectral and random measures associated to discrete and continuous-time processes
- On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes
- Spectral analysis of stable processes on the positive half-line
- scientific article; zbMATH DE number 739047 (Why is no real title available?)
- Discriminant analysis for dynamics of stable processes
- Eigenvalues and Eigenfunctions for Stable Processes
- Estimation of stable spectral measures
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