Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution
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Publication:5135322
DOI10.1111/jtsa.12548zbMath1453.60041OpenAlexW3036232167MaRDI QIDQ5135322
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Publication date: 20 November 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12548
Multivariate distribution of statistics (62H10) Infinitely divisible distributions; stable distributions (60E07) Measures of association (correlation, canonical correlation, etc.) (62H20)
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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 ⋮ Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors ⋮ Autoregressive model with double Pareto distributed noise
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