Estimating the codifference function of linear time series models with infinite variance
type: Item
instance of: scholarly article
title: Estimating the codifference function of linear time series models with infinite variance
zbMATH Open document ID: 1213.62143
author: Dedi Rosadi
author: Manfred Deistler
published in: Metrika
publication date: 2011-05-20T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 5898366
zbMATH Keywords: ARMA
zbMATH Keywords: empirical characteristic function
describes a project that uses: R
describes a project that uses: STABLE
MaRDI profile type: Publication
full work available at URL: s00184-009-0285-9
OpenAlex ID: W2105166888
cites work: ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
cites work: A Method for Simulating Stable Random Variables
cites work: Q4343010
cites work: Rates of convergence for the empirical distribution function and the empirical characteristic function of a broad class of linear processes
cites work: Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
cites work: Can one see \(\alpha\)-stable variables and processes?
cites work: INFINITE VARIANCE STABLE ARMA PROCESSES
cites work: A goodness-of-fit test of simple hypotheses based on the empirical characteristic function
cites work: Q4230740
cites work: Asymptotic behavior of the covariation and the codifference for arma models with stable innovations
cites work: Q4385066
cites work: Testing the stable Paretian assumption
cites work: Stable Paretian models in finance
cites work: Q4678395
cites work: Order identification for Gaussian moving averages using the codifference function
cites work: Identification of moving average process with infinite variance
cites work: Q4301585
cites work: Empirical Characteristic Function Estimation and Its Applications
DOI: 10.1007/S00184-009-0285-9
Recommended article: Inference for some time series models with random coefficients and infinite variance innovations
Recommended article: Inference for Near-Integrated Time Series With Infinite Variance
Recommended article: Cross-codifference for bidimensional VAR(1) time series with infinite variance
Recommended article: Q4678395
Recommended article: Estimation of the impulse response coefficients of a linear process with infinite variance
Recommended article: Estimators of covariances in time series models
description: scientific article; zbMATH DE number 5898366