Moving Averages of Random Vectors with Regularly Varying Tails

DOI10.1111/1467-9892.00187zbMath0957.62080OpenAlexW2004611555MaRDI QIDQ2703261

Mark M. Meerschaert, Hans-Peter Scheffler

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00187

zbMATH Keywords

domain of attractionlimit theoremsmoving averageautocovariance matrixoperator stable distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (5)

Limit Theory for High Frequency Sampled MCARMA Models ⋮ Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration ⋮ TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS ⋮ Topological crackle of heavy-tailed moving average processes ⋮ Moment estimator for random vectors with heavy tails

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