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Identification of Time Series with Infinite Variance

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  • Gerald Rosenfeld

Abstract

The effects of infinite variance random shocks on the identification of time series models is studied. Identifying functions are computed and then compared with the known structures of computer simulated series. A data clipping method to improve identification is examined. It is asserted that the Box‐Jenkins methods for identifying time series are still useful, in conjunction with data clipping, even in the presence of infinite variance.

Suggested Citation

  • Gerald Rosenfeld, 1976. "Identification of Time Series with Infinite Variance," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(2), pages 147-153, June.
    • Handle: RePEc:bla:jorssc:v:25:y:1976:i:2:p:147-153
    DOI: 10.2307/2346683
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    Cited by:

    1. Rosadi, Dedi, 2007. "Identification of moving average process with infinite variance," Statistics & Probability Letters, Elsevier, vol. 77(14), pages 1490-1496, August.

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