# On uniqueness of moving average representations of heavy-tailed stationary processes

## Author Info

• Gouriéroux, Christian
• Zakoian, Jean-Michel

## Abstract

We 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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File URL: https://mpra.ub.uni-muenchen.de/54907/1/MPRA_paper_54907.pdf
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## Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 54907.

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 Length: Date of creation: 31 Mar 2014 Date of revision: Handle: RePEc:pra:mprapa:54907 Contact details of provider: Postal: Ludwigstraße 33, D-80539 Munich, GermanyPhone: +49-(0)89-2180-2459Fax: +49-(0)89-2180-992459Web page: https://mpra.ub.uni-muenchen.deMore information through EDIRC

## References

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1. 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.
2. Marc Hallin & Claude Lefèvre & Madan Lal 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.
3. Christian Gouriéroux & Jean-Michel Zakoian, 2013. "Explosive Bubble Modelling by Noncausal Process," Working Papers 2013-04, Centre de Recherche en Economie et Statistique.
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