Strongly harmonizable ARMA S\(\alpha\)S models

DOI10.1007/S40995-017-0305-YzbMath1392.62278OpenAlexW2762617230MaRDI QIDQ724806

D. Kharzeev

Publication date: 26 July 2018

Published in: Iranian Journal of Science and Technology. Transaction A: Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40995-017-0305-y

zbMATH Keywords

regularitymoving average representationARMA modelsstrongly harmonizable processesprediction and simulation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Best linear prediction for \(\alpha \)-stable random processes
• Linear prediction of ARMA processes with infinite variance
• Time series: theory and methods.
• On regularity of certain stable processes
• A characterization and moving average representation for stable harmonizable processes
• Parameter estimation for ARMA models with infinite variance innovations
• Prediction of stable processes: Spectral and moving average representations
• Best Approximations in L^p (d μ) and Prediction Problems of Szegö, Kolmogorov, Yaglom, and Nakazi
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