On uniqueness of moving average representations of heavy-tailed stationary processes

Christian Gourieroux and Jean-Michel Zakoian

MPRA Paper from University Library of Munich, Germany

Abstract: We prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha

Keywords: $\alpha$-stable distribution; Domain of attraction; Infinite moving average; Linear process; Mixed causal/noncausal process; Nonparametric identification; Unobserved component model. (search for similar items in EconPapers)
JEL-codes: C14 C22 C32 (search for similar items in EconPapers)
Date: 2014-03-31
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Journal Article: On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:54907

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