Fractional ARIMA with stable innovations
Fractional ARIMA with stable innovations
复制标题
具有稳定创新的分数 ARIMA
DOI：
10.1016/0304-4149(95)00034-8
复制
发表时间：
1995
影响因子：
1.4
通讯作者：
M. Taqqu
中科院分区：
文献类型：
--
作者：
P. Kokoszka;M. Taqqu
我们发展了分数差分ARIMA时间序列的理论，建立了存在和可逆性的条件。我们通过协差和协变分析了它们的渐近相关结构，协差和协变是协方差的扩展，适用于具有无穷方差的随机过程。
We develop the theory of fractionally differenced ARIMA time series with stable infinite variance innovations establishing conditions for existence and invertibility. We analyze their asymptotic dependence structure by means of the codifference and the covariation, measures of dependence which are extensions of the covariance and are applicable to stochastic processes with infinite variance.