Abstract
The paper solves the open problem of identification of two-sided moving average representations with i.i.d. summands, for stationary processes in non-Gaussian domains of attraction of α-stable laws. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients and the distribution of the underlying heavy-tailed i.i.d. process.
| Original language | English |
|---|---|
| Pages (from-to) | 876-887 |
| Number of pages | 12 |
| Journal | Journal of Time Series Analysis |
| Volume | 36 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 1 Nov 2015 |
| Externally published | Yes |
Keywords
- Domain of attraction
- Identification
- Infinite moving average
- Linear process
- Mixed causal/noncausal process
- α-stable distribution
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