INFINITE VARIANCE STABLE ARMA PROCESSES

Piotr S. Kokoszka and Murad S. Taqqu

Journal of Time Series Analysis, 1994, vol. 15, issue 2, 203-220

Abstract: 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.

Date: 1994
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