Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise

DOI10.4064/bc122-8zbMath1466.62384arXiv1911.10894OpenAlexW3129651716MaRDI QIDQ4989148

Aleksandra Grzesiek, Agnieszka Wyłomańska

Publication date: 20 May 2021

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.10894

zbMATH Keywords

bidimensional autoregressive (AR) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series analysis of dynamical systems (37M10)

Related Items (4)

Linnik Lévy process and some extensions ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ Autoregressive model with double Pareto distributed noise ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations

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