A method for fitting stable autoregressive models using the autocovariation function

Colin M. Gallagher

Statistics & Probability Letters, 2001, vol. 53, issue 4, 381-390

Abstract: We use the sample covariations to estimate the parameters in a univariate symmetric stable autoregressive process. Unlike the sample correlation, the sample covariation can be used to estimate the tail decay parameter of the process. The fitted model will be consistent with the dependence as measured by the covariation. The limit distribution of the sample covariation can be used to derive confidence intervals for the autoregressive parameter in a first order process. Simulations show that confidence intervals coming from the covariation have better coverage probabilities than those coming from the sample correlations. The method is demonstrated on a time series of sea surface temperatures.

Keywords: Time; series; Autocovariation; Autoregression (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (7)

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