Discriminant analysis for dynamics of stable processes

DOI10.1016/j.stamet.2008.04.003zbMath1220.62085OpenAlexW2051609999MaRDI QIDQ537353

Motoyoshi Nishikawa, Masanobu Taniguchi

Publication date: 20 May 2011

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2008.04.003

zbMATH Keywords

spectral densityclassification statisticsnormalized power transfer functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99)

Related Items

Empirical likelihood approach toward discriminant analysis for dynamics of stable processes

Cites Work

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• Spectral estimates and stable processes
• Limit theory for the sample covariance and correlation functions of moving averages
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• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES