INFINITE VARIANCE STABLE ARMA PROCESSES
- 1 March 1994
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 15 (2) , 203-220
- https://doi.org/10.1111/j.1467-9892.1994.tb00185.x
Abstract
The asymptotic dependence structure of autoregressive moving‐average processes with stable innovations is analyzed. The analysis is carried out by means of a measure of dependence which extends the covariance function and is applicable to stochastic processes with infinite variance.Keywords
This publication has 3 references indexed in Scilit:
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- One-Dimensional Stable DistributionsPublished by American Mathematical Society (AMS) ,1986