Estimating the codifference function of linear time series models with infinite variance

DOI10.1007/s00184-009-0285-9zbMath1213.62143OpenAlexW2105166888MaRDI QIDQ537535

Dedi Rosadi, Manfred Deistler

Publication date: 20 May 2011

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-009-0285-9

zbMATH Keywords

empirical characteristic functionARMA

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

Related Items

Stable continuous-time autoregressive process driven by stable subordinator ⋮ Bivariate sub-Gaussian model for stock index returns ⋮ Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise ⋮ Cross-codifference for bidimensional VAR(1) time series with infinite variance ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ The asymptotic codifference and covariation of log-fractional stable noise ⋮ Modeling anomalous diffusion by a subordinated fractional Lévy-stable process ⋮ Testing for independence in heavy-tailed time series using the codifference function ⋮ Inference for vast dimensional elliptical distributions ⋮ Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation ⋮ Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise

Uses Software

• R
• STABLE

Cites Work

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• Order identification for Gaussian moving averages using the codifference function
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