On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes

Christian Gourieroux and Jean-Michel Zakoian

Journal of Time Series Analysis, 2015, vol. 36, issue 6, 876-887

Abstract: type="main" xml:id="jtsa12139-abs-0001"> The paper solves the open problem of identification of two-sided moving average representations with i.i.d. summands, for stationary processes in non-Gaussian domains of attraction of α-stable laws. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients and the distribution of the underlying heavy-tailed i.i.d. process.

Date: 2015
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Working Paper: On uniqueness of moving average representations of heavy-tailed stationary processes (2014)
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