On uniqueness of moving average representations of heavy-tailed stationary processes
AbstractWe prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 54907.
Date of creation: 31 Mar 2014
Date of revision:
$\alpha$-stable distribution; Domain of attraction; Infinite moving average; Linear process; Mixed causal/noncausal process; Nonparametric identification; Unobserved component model.;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-04-05 (All new papers)
- NEP-ECM-2014-04-05 (Econometrics)
- NEP-ETS-2014-04-05 (Econometric Time Series)
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- Kung-Sik Chan & Lop-Hing Ho & Howell Tong, 2006. "A note on time-reversibility of multivariate linear processes," Biometrika, Biometrika Trust, vol. 93(1), pages 221-227, March.
- Christian Gouriéroux & Jean-Michel Zakoian, 2013. "Explosive Bubble Modelling by Noncausal Process," Working Papers 2013-04, Centre de Recherche en Economie et Statistique.
- Marc Hallin & Claude Lefèvre & Madan L. Puri, 1988. "On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series," ULB Institutional Repository 2013/2017, ULB -- Universite Libre de Bruxelles.
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