Asymptotic behavior of the covariation and the codifference for ARMA models with stable innovations

Communications in Statistics. Part C: Stochastic Models

Volumn 13, Issue 4, 1997, Pages 673-685

  Nowicka, Joanna ^a  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

ARMA processes; Codifference; Covariation; Dependence structure; Symmetric stable processes

Indexed keywords

EID: 33646990087     PISSN: 08820287     EISSN: None     Source Type: Journal    
DOI: 10.1080/15326349708807446     Document Type: Article

References (6)

1. CAMBANIS, S. AND MILLER, G. (1981) Some path properties of pth order and symmetric stable processes, Ann. Prob. 8, 1148-1156.
2. JANICKI, A. AND WERON, A. (1994) Simulation and Chaotic Behavior of α-Stable Stochastic Processes. New York: Marcel Dekker.
3. KOKOSZKA, P.S. AND TAQQU, M.S. (1994) Infinite Variance Stable ARMA Processes, J. Time Ser. Anal. 15, 203-221.
4. KOKOSZKA, P.S. AND TAQQU, M.S. (1995) Fractional ARIMA with Stable Innovations, Stochastic Processes and their Applications 60, 19-47.
5. NOWICKA, J. AND WERON, A. (1995) Numerical Approximation of Dependence Structure for Symmetric Stable AR(2) Processes. Preprint.
6. SAMORODNITSKY, G. AND TAQQU, M.S. (1994) Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. New York: Chapman & Hall.