FRACTIONAL ARIMA WITH STABLE INNOVATIONS

Authors
KOKOSZKA PS TAQQU MS
Citation
Ps. Kokoszka et Ms. Taqqu, FRACTIONAL ARIMA WITH STABLE INNOVATIONS, Stochastic processes and their applications, 60(1), 1995, pp. 19-47
Citations number
29
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
60
Issue
1
Year of publication
1995
Pages
19 - 47
Database
ISI
SICI code
0304-4149(1995)60:1<19:FAWSI>2.0.ZU;2-9
Abstract
We develop the theory of fractionally differenced ARIMA time series wi th stable infinite variance innovations establishing conditions for ex istence and invertibility. We analyze their asymptotic dependence stru cture by means of the codifference and the covariation, measures of de pendence which are extensions of the covariance and are applicable to stochastic processes with infinite variance.