Sample Cross-correlations for Moving Averages with Regularly Varying Tails By

نویسندگان

  • MARK M. MEERSCHAERT
  • HANS-PETER SCHEFFLER
چکیده

We compute the asymptotics of the sample cross-correlation between two scalar moving averages whose IID innovations have regularly varying probability tails with different tail indices.

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تاریخ انتشار 2000