Linear prediction for a class of multivariate stable processes

DOI10.1080/15326349808807472zbMath0896.60020OpenAlexW1994910306MaRDI QIDQ4385222

Heather Mitchell, Peter J. Brockwell

Publication date: 14 September 1998

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349808807472

zbMATH Keywords

ARMA processlinear predictionmultivariate stable processMA processS\(\alpha\)S process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (4)

Fast approximate likelihood evaluation for stable VARFIMA processes ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations ⋮ A note on the modelling and analysis of vector ARMA processes with nonstationary innovations ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors

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