Extrapolation of stable random fields
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DOI: 10.1016/j.jmva.2012.11.004
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References listed on IDEAS
- Cline, Daren B. H. & Brockwell, Peter J., 1985. "Linear prediction of ARMA processes with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 19(2), pages 281-296, April.
- Molchanov, Ilya, 2009. "Convex and star-shaped sets associated with multivariate stable distributions, I: Moments and densities," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2195-2213, November.
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Cited by:
- Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
- Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
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Keywords
Extrapolation; Random field; Stable distribution;All these keywords.
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