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Volumn 73, Issue 1, 1996, Pages 79-99

Infinite variance stable moving averages with long memory

Author keywords

Long memory; Moving averages; Stable processes

Indexed keywords


EID: 0001929163     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(95)01734-8     Document Type: Article
Times cited : (25)

References (18)
  • 4
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    • Linear problems in pth order and symmetric stable processes
    • Cambanis, S. and G. Miller, 1981, Linear problems in pth order and symmetric stable processes, SIAM Journal of Applied Mathematics 41, 43-69.
    • (1981) SIAM Journal of Applied Mathematics , vol.41 , pp. 43-69
    • Cambanis, S.1    Miller, G.2
  • 6
    • 0000375268 scopus 로고
    • Form of the conditional variance for symmetric stable random variables
    • Cioczek-Georges, R. and M.S. Taqqu, 1995a, Form of the conditional variance for symmetric stable random variables, Statistica Sinica 5, 351-361.
    • (1995) Statistica Sinica , vol.5 , pp. 351-361
    • Cioczek-Georges, R.1    Taqqu, M.S.2
  • 7
    • 0000327353 scopus 로고
    • Necessary conditions for the existence of conditional moments of stable random variables
    • Cioczek-Georges, R. and M.S. Taqqu, 1995b, Necessary conditions for the existence of conditional moments of stable random variables, Stochastic Processes and their Applications 56, 233-246.
    • (1995) Stochastic Processes and Their Applications , vol.56 , pp. 233-246
    • Cioczek-Georges, R.1    Taqqu, M.S.2
  • 10
    • 84986792205 scopus 로고
    • An introduction to long-memory time series and fractional differencing
    • Granger, C.W.J. and R. Joyeux, 1980, An introduction to long-memory time series and fractional differencing, Journal of Time Series Analysis 1, 15-30.
    • (1980) Journal of Time Series Analysis , vol.1 , pp. 15-30
    • Granger, C.W.J.1    Joyeux, R.2
  • 11
    • 77956890381 scopus 로고
    • Fractional differencing
    • Hosking, J.R.M., 1981, Fractional differencing, Biometrika 68, 165-176.
    • (1981) Biometrika , vol.68 , pp. 165-176
    • Hosking, J.R.M.1
  • 16
    • 0002650549 scopus 로고
    • Linear models with long-range dependence and finite or infinite variance
    • D. Brillinger, P. Caines, J. Geweke, E. Parzen, M. Rosenblatt, and M.S. Taqqu, eds., (Springer-Verlag, New York, NY)
    • Samorodnitsky, G. and M.S. Taqqu, 1992, Linear models with long-range dependence and finite or infinite variance, in: D. Brillinger, P. Caines, J. Geweke, E. Parzen, M. Rosenblatt, and M.S. Taqqu, eds., New directions in time series analysis, Part II, IMA volumes in mathematics and its applications, Vol. 46 (Springer-Verlag, New York, NY).
    • (1992) New Directions in Time Series Analysis, Part II, IMA Volumes in Mathematics and Its Applications , vol.46
    • Samorodnitsky, G.1    Taqqu, M.S.2
  • 18
    • 84953751498 scopus 로고
    • Cambridge University Press, Cambridge
    • Zygmund, A., 1979, Trigonometric series, Vois. I and II (Cambridge University Press, Cambridge).
    • (1979) Trigonometric Series , vol.1-2
    • Zygmund, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.