Fractional ARIMA with stable innovations

Piotr S. Kokoszka and Murad S. Taqqu

Stochastic Processes and their Applications, 1995, vol. 60, issue 1, 19-47

Abstract: We develop the theory of fractionally differenced ARIMA time series with stable infinite variance innovations establishing conditions for existence and invertibility. We analyze their asymptotic dependence structure by means of the codifference and the covariation, measures of dependence which are extensions of the covariance and are applicable to stochastic processes with infinite variance.

Keywords: Moving; averages; Stable; processes; Asymptotic; dependence (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (41)

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