Sample Cross‐correlations for Moving Averages with Regularly Varying Tails

Mark M. Meerschaert and Hans‐Peter Scheffler

Journal of Time Series Analysis, 2001, vol. 22, issue 4, 481-492

Abstract: We compute the asymptotics of the sample cross‐correlation between two scalar moving averages whose IID innovations have regularly varying probability tails with different tail indices.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:22:y:2001:i:4:p:481-492

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