Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients

DOI10.1080/15326340701826906zbMath1135.60028OpenAlexW2082617057MaRDI QIDQ5454669

Joanna Nowicka-Zagrajek, Agnieszka Wyłomańska

Publication date: 31 March 2008

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340701826906

zbMATH Keywords

covariationdependence structurestable random variablesAR modelscodifference

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stable stochastic processes (60G52) Theory of organizations, manpower planning in operations research (90B70)

Related Items (13)

Stable continuous-time autoregressive process driven by stable subordinator ⋮ The modified Yule-Walker method for \(\alpha\)-stable time series models ⋮ Bivariate sub-Gaussian model for stock index returns ⋮ Fractional Lévy stable motion time-changed by gamma subordinator ⋮ Cross-codifference for bidimensional VAR(1) time series with infinite variance ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Autoregressive model with double Pareto distributed 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 ⋮ Modeling anomalous diffusion by a subordinated fractional Lévy-stable process ⋮ Codifference as a practical tool to measure interdependence ⋮ Heavy-tails and regime-switching in electricity prices ⋮ Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise

Cites Work

• An approach to modeling seasonally stationary time series
• Can one see \(\alpha\)-stable variables and processes?
• Characterization of cyclostationary random signal processes
• Asymptotic behavior of the covariation and the codifference for arma models with stable innovations
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