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Estimating the codifference function of linear time series models with infinite variance

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  • Dedi Rosadi

  • Manfred Deistler

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  • Dedi Rosadi & Manfred Deistler, 2011. "Estimating the codifference function of linear time series models with infinite variance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 73(3), pages 395-429, May.
    • Handle: RePEc:spr:metrik:v:73:y:2011:i:3:p:395-429
    DOI: 10.1007/s00184-009-0285-9
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    References listed on IDEAS

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    1. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook9401.
    2. Piotr S. Kokoszka & Murad S. Taqqu, 1994. "Infinite Variance Stable Arma Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(2), pages 203-220, March.
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    Cited by:

    1. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
    2. Aleksandra Grzesiek & Prashant Giri & S. Sundar & Agnieszka WyŁomańska, 2020. "Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 785-807, November.
    3. Levy, Joshua B. & Taqqu, Murad S., 2014. "The asymptotic codifference and covariation of log-fractional stable noise," Journal of Econometrics, Elsevier, vol. 181(1), pages 34-43.
    4. Karling, Maicon J. & Lopes, Sílvia R.C. & de Souza, Roberto M., 2023. "Multivariate α-stable distributions: VAR(1) processes, measures of dependence and their estimations," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
    5. Jabłońska-Sabuka, Matylda & Teuerle, Marek & Wyłomańska, Agnieszka, 2017. "Bivariate sub-Gaussian model for stock index returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 628-637.
    6. Matthieu Garcin & Karl Sawaya & Thomas Valade, 2025. "Prediction of linear fractional stable motions using codifference, with application to non-Gaussian rough volatility," Papers 2507.15437, arXiv.org, revised May 2026.

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