Linear prediction of ARMA processes with infinite variance

DOI10.1016/0304-4149(85)90030-4zbMath0567.62082OpenAlexW2086682091WikidataQ127596894 ScholiaQ127596894MaRDI QIDQ1059970

Daren B. H. Cline, Peter J. Brockwell

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1016/0304-4149(85)90030-4

zbMATH Keywords

regular variationinfinite varianceregularly varying tailsstable processlinear predictiontruncationsbest predictorinfinite sumsrelative dispersionerror distributionARMA(p,q)stationary ARMA(1,1) processsymmetric stable white noise

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• Linear Problems in Linear Problems inpth Order and Stable Processes
• Regression and autoregression with infinite variance
• Autoregressive processes with infinite variance
• Minimum error dispersion linear filtering of scalar symmetric stable processes
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