Linear prediction of ARMA processes with infinite variance
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- Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
- Balakrishna, N. & Hareesh, G., 2009. "Statistical signal extraction using stable processes," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 851-856, April.
- Piotr Kokoszka & Michael Wolf, 2002. "Subsampling the mean of heavy-tailed dependent observations," Economics Working Papers 600, Department of Economics and Business, Universitat Pompeu Fabra.
- Bhansali, R. J. & Kokoszka, P. S., 2002. "Computation of the forecast coefficients for multistep prediction of long-range dependent time series," International Journal of Forecasting, Elsevier, vol. 18(2), pages 181-206.
- Karcher, Wolfgang & Shmileva, Elena & Spodarev, Evgeny, 2013. "Extrapolation of stable random fields," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 516-536.
- Mohammadi, Mohammad & Mohammadpour, Adel, 2009. "Best linear prediction for [alpha]-stable random processes," Statistics & Probability Letters, Elsevier, vol. 79(21), pages 2266-2272, November.
- Kokoszka, Piotr S. & Taqqu, Murad S., 1995. "Fractional ARIMA with stable innovations," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 19-47, November.
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KeywordsARMA process regular variation stable process;
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