Identification of Time Series with Infinite Variance

Gerald Rosenfeld

Journal of the Royal Statistical Society Series C, 1976, vol. 25, issue 2, 147-153

Abstract: The effects of infinite variance random shocks on the identification of time series models is studied. Identifying functions are computed and then compared with the known structures of computer simulated series. A data clipping method to improve identification is examined. It is asserted that the Box‐Jenkins methods for identifying time series are still useful, in conjunction with data clipping, even in the presence of infinite variance.

Date: 1976
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.2307/2346683

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssc:v:25:y:1976:i:2:p:147-153

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-9876

Access Statistics for this article

Journal of the Royal Statistical Society Series C is currently edited by R. Chandler and P. W. F. Smith

More articles in Journal of the Royal Statistical Society Series C from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().