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INFINITE VARIANCE STABLE ARMA PROCESSES
Author(s) -
Kokoszka Piotr S.,
Taqqu Murad S.
Publication year - 1994
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1994.tb00185.x
Subject(s) - mathematics , autoregressive–moving average model , autoregressive model , variance (accounting) , covariance , measure (data warehouse) , covariance function , statistics , econometrics , accounting , database , computer science , business
. 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.