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Spectral estimates and stable processes

Author

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  • Klüppelberg, Claudia
  • Mikosch, Thomas

Abstract

Let be a discrete time moving average process based on i.i.d. symmetric random variables {Zt} with a common distribution function from the domain of normal attraction of a p-stable law (0

Suggested Citation

  • Klüppelberg, Claudia & Mikosch, Thomas, 1993. "Spectral estimates and stable processes," Stochastic Processes and their Applications, Elsevier, vol. 47(2), pages 323-344, September.
    • Handle: RePEc:eee:spapps:v:47:y:1993:i:2:p:323-344
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    Cited by:

    1. Fasen, Vicky & Fuchs, Florian, 2013. "On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 229-273.
    2. Papa Ousmane Cissé & Dominique Guegan & Abdou Kâ Diongue, 2018. "On the parameters estimation of the Seasonal FISSAR Model," Post-Print halshs-01832115, HAL.
    3. Kokoszka, Piotr & Mikosch, Thomas, 2000. "The periodogram at the Fourier frequencies," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 49-79, March.
    4. Davis, Richard A., 1996. "Gauss-Newton and M-estimation for ARMA processes with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 63(1), pages 75-95, October.
    5. Kokoszka, Piotr S. & Taqqu, Murad S., 1995. "Fractional ARIMA with stable innovations," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 19-47, November.
    6. Cipriani, Alessandra & Hazra, Rajat Subhra & Ruszel, Wioletta M., 2018. "The divisible sandpile with heavy-tailed variables," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 3054-3081.

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