How misleading can sample ACFs of stable MAs be? (very!)

Annals of Applied Probability

Volumn 9, Issue 3, 1999, Pages 797-817

  Resnick, Sidney ^a   Samorodnitsky, Gennady ^a   Xue, Fang ^b  

^a Cornell University   (United States)

^b Department of Obstetrics Gynecology   (United States)

Author keywords

Acf; ARMA processes; Heavy tails; Infinite variance; Moving average; Sample correlation; Stable process

Indexed keywords

EID: 0033249378     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1029962814     Document Type: Article

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