Order Determination for Processes with Infinite Variance

Author:

Bhansali R. J.

Publisher

Springer US

Reference14 articles.

1. Akaike, H. (1970). Statistical predictor indentification. Ann. Statist. Math., 22, 203–17.

2. Bhansali, R.J. (1983). Estimation of the order of a moving average model from autoregressive and window estimates of the inverse correlation function. J. Time Series Analysis, 4, 137–162.

3. Bhansali, R.J. and Downham, D.Y. (1977). Some properties of the order of an autoreqressive model selected by a generalization of Akaike’s FPE criterion. Biometrika, 64, 547–51.

4. Box, G.E.P. and Jenkins, G.M. (1970). Time Series Analysis: Forecasting and Control. San Francisco: Holden Day.

5. Chambers, J.C., Mallows, C.L. and Stuck, B.W. (1976). A method for simulating stable random variables. J. Amer. Statist. Assoc., 71, 340–344.

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Time Series Analysis for Heavy-Tailed Processes;Modelling Extremal Events;1997

2. Recent Developments in Analysis of Time Series with Infinite Variance: A Review;Athens Conference on Applied Probability and Time Series Analysis;1996

3. Consistent Order Determination for Processes with Infinite Variance;Journal of the Royal Statistical Society: Series B (Methodological);1988-09

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