Fractional ARIMA with stable innovations
We develop the theory of fractionally differenced ARIMA time series with stable infinite variance innovations establishing conditions for existence and invertibility. We analyze their asymptotic dependence structure by means of the codifference and the covariation, measures of dependence which are extensions of the covariance and are applicable to stochastic processes with infinite variance.
Year of publication: |
1995
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Authors: | Kokoszka, Piotr S. ; Taqqu, Murad S. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 60.1995, 1, p. 19-47
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Publisher: |
Elsevier |
Keywords: | Moving averages Stable processes Asymptotic dependence |
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