NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE

DOI10.1111/J.1467-9892.1993.TB00146.XzbMath0768.62087OpenAlexW2060355715MaRDI QIDQ5285836

Dankit K. Nassiuma

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00146.x

zbMATH Keywords

parameter estimationinfinite variancestable distributionsstable innovations\(h\)-steps-ahead forecast errorlambda-stationaritylinear forecastsnon-stationary autoregressive moving-average processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Linear prediction of ARMA processes with infinite variance
• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• A note on nonstationary arma processes with infinite variance
• Autoregressive processes with infinite variance
• Minimum error dispersion linear filtering of scalar symmetric stable processes
• Least absolute deviation estimates in autoregression with infinite variance
• "Infinite Variance" and Research Strategy in Time Series Analysis
• Inference for Near-Integrated Time Series With Infinite Variance

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