Estimation for non-negative time series with heavy-tail innovations
Author:
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.2012.00815.x/fullpdf
Reference21 articles.
1. Non-negative autoregressive processes;Andĕl;Journel of Time Series Analysis,1989
2. Non-negative linear processes;Andĕl;Appl. of Math,1991
3. Innovations algorithm asymptotics for periodically stationary time series with heavy tails;Anderson;Journal of Multivariate Analysis,2008
4. Time Series: Theory and Methods
5. Estimation for a class of positive nonlinear time series models;Brown;Stochastic Processes and Applications,1996
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