Diagnostic checking in linear processes with infinite variance

DOI10.1016/S0895-7177(01)00120-0zbMath1003.62074MaRDI QIDQ1600532

Ralf Runde, Walter Kramer

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

stable distributionsresidual autocorrelationARMA-models

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Testing for independence in heavy-tailed time series using the codifference function

Cites Work

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• A Method for Simulating Stable Random Variables
• Modeling asset returns with alternative stable distributions^*
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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