Cross-codifference for bidimensional VAR(1) time series with infinite variance
Author:
Affiliation:
1. Faculty of Pure and Applied Mathematics, Hugo Steinhaus Center, Wrocław University of Science and Technology, Wrocław, Poland
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610918.2019.1670840
Reference41 articles.
1. Nonlinear System Identification
2. Introduction to Time Series and Forecasting
3. Sub-Gaussian random variables
4. Some Path Properties of $p$th Order and Symmetric Stable Processes
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