Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence

zbMath1493.62357arXiv2011.06067MaRDI QIDQ5093983

G. L. Feltes, Sílvia R. C. Lopes

Publication date: 2 August 2022

Full work available at URL: https://arxiv.org/abs/2011.06067

zbMATH Keywords

long-range dependencelinear fractional stable motionfractionally integrated moving average stable processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10) Topological spaces with richer structures (54E99) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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• The asymptotic dependence structure of the linear fractional Lévy motion
• Integration questions related to fractional Brownian motion
• Long-memory stable {O}rnstein-{U}hlenbeck processes
• Stochastic integration with respect to fractional Brownian motion
• Introduction to stochastic integration.
• Stochastic calculus with respect to fractional Brownian motion
• Fractional Lévy processes with an application to long memory moving average processes
• On a Converse of the Holder Inequality
• Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
• Stochastic calculus for fractional Lévy processes
• Short and Long Memory Fractional Ornstein–Uhlenbeck α-Stable Processes
• Long Range Dependence

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