Infinite variance processes have attracted growing interest in recent years due to its applications in many areas of statistics (see and references therein). For example, ARIMA timeseries models with infinite variance innovations are widely used in financial modelling. However, a little attention h
✦ LIBER ✦
Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
✍ Scribed by D. Puplinskaitė; D. Surgailis
- Publisher
- Springer
- Year
- 2009
- Tongue
- English
- Weight
- 325 KB
- Volume
- 49
- Category
- Article
- ISSN
- 0363-1672
No coin nor oath required. For personal study only.
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infinite variance processes have attracted growing interest in recent years due to its applications in many areas of statistics. For example, ARIMA time series models with infinite variance innovations are widely used in financial modelling. However, little attention has been paid to incorporate inf