Spectral estimates and stable processes

DOI10.1016/0304-4149(93)90021-UMaRDI QIDQ689470zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• 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
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• 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)

• 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
• scientific article; zbMATH DE number 739047 (Why is no real title available?)
• Estimation of Additive Error in Mixed Spectra for Stable Processes
• Non-stationary autoregressive processes with infinite variance
• Spectral analysis of stable processes on the positive half-line
• scientific article; zbMATH DE number 720759 (Why is no real title available?)
• Fractional ARIMA with stable innovations
• scientific article; zbMATH DE number 88743 (Why is no real title available?)
• 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
• On spectral and random measures associated to discrete and continuous-time processes
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• Cluster analysis for stable processes
• 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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