Analysis of autoregressive models with symmetric stable innovations

DOI10.1080/02331888.2017.1397155zbMath1461.62151OpenAlexW2768891565MaRDI QIDQ5147566

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Publication date: 27 January 2021

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2017.1397155

zbMATH Keywords

information criteriageneralized Yule-Walker estimationpartial auto-covariation functionsymmetric stable autoregressive model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Time series analysis of dynamical systems (37M10) Stable stochastic processes (60G52)

Related Items (1)

Detecting conditional independence for modeling non-Gaussian time series

Uses Software

• STABLE

Cites Work

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• STABLE
• Linear prediction of ARMA processes with infinite variance
• Consistency of Araike's information criterion for infinite variance autoregressive processes
• Time series: theory and methods.
• Stable Autoregressive Models and Signal Estimation
• Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
• Numerical calculation of stable densities and distribution functions
• A method for fitting stable autoregressive models using the autocovariation function
• A new look at the statistical model identification

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