Almost Sure Continuity of Stable Moving Average Processes with Index Less Than One
نویسندگان
چکیده
منابع مشابه
Moving Average Processes with Infinite Variance
The sample autocorrelation function (acf) of a stationary process has played a central statistical role in traditional time series analysis, where the assumption is made that the marginal distribution has a second moment. Now, the classical methods based on acf are not applicable in heavy tailed modeling. Using the codifference function as dependence measure for such processes be shown it be as...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1988
ISSN: 0091-1798
DOI: 10.1214/aop/1176991905