Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients

We derive the asymptotic behavior of two measures of dependence (Codifference and Covariation) for ARMA(1,2) models with symmetric alpha-stable innovations and non-stationary coefficients.

MoreLess

Year of publication:	2004
Authors:	Wylomanska, Agnieszka
Institutions:	Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Subject:	ARMA model \| Stable distribution \| Codifference \| Covariation

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	HSC Research Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number HSC/04/06 9 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009003611