Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
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Publication:847911
DOI10.1007/s10986-009-9060-xzbMath1194.60026OpenAlexW1983493655MaRDI QIDQ847911
Donata Puplinskaitė, Donatas Surgailis
Publication date: 19 February 2010
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-009-9060-x
long memoryinfinite variancefractional Lévy motionstable distributionaggregation of AR(1) processsample Allen variance
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)
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