Parameter estimation for infinite variance fractional ARIMA

Annals of Statistics

Volumn 24, Issue 5, 1996, Pages 1880-1913

  Kokoszka, Piotr S ^a   Taqqu, Murad S ^b  

^a UNIVERSITY OF UTAH   (United States)

^b Boston University   (United States)

Author keywords

Estimation; Fractional ARIMA; Heavy tails; Long memory; Stable distributions

Indexed keywords

EID: 0030359440     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/aos/1069362302     Document Type: Article

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