The modified Yule-Walker method for \(\alpha\)-stable time series models
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Publication:1620393
DOI10.1016/J.PHYSA.2016.11.037zbMath1400.62185OpenAlexW2556994975MaRDI QIDQ1620393
Agnieszka Wyłomańska, Piotr Kruczek, Marek Teuerle, Janusz Gajda
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2016.11.037
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Stable stochastic processes (60G52)
Related Items (7)
The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ Forecasting of symmetric \(\alpha\)-stable autoregressive models by time series approach supported by artificial neural networks ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Autoregressive model with double Pareto distributed noise ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models
Uses Software
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