Parameter estimation for infinite variance fractional ARIMA
type: Item
instance of: scholarly article
title: Parameter estimation for infinite variance fractional ARIMA
zbMATH Open document ID: 0896.62092
author: Piotr Kokoszka
author: Murad S. Taqqu
published in: The Annals of Statistics
publication date: 1998-10-06T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60E07
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 1006634
zbMATH Keywords: stable distributions
zbMATH Keywords: heavy tails
zbMATH Keywords: fractional ARIMA time series
zbMATH Keywords: long-range dependence
zbMATH Keywords: consistency
zbMATH Keywords: periodogram
zbMATH Keywords: sample autocovariances
zbMATH Keywords: infinite variance
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1069362302
OpenAlex ID: W2051218871
DOI: 10.1214/AOS/1069362302
description: scientific article; zbMATH DE number 1006634