On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes

被引：10

作者：

Gourieroux, Christian ^{[1
,2
]}

Zakoian, Jean-Michel ^{[1
,2
,3
]}

机构：

[1] CREST, F-92245 Malakoff, France

[2] Univ Toronto, Toronto, ON, Canada

[3] Univ Lille 3, Villeneuve Dascq, France

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2015年 / 36卷 / 06期

关键词：

alpha-stable distribution; domain of attraction; identification; infinite moving average; linear process; mixed causal; noncausal process; GAUSSIAN LINEAR-PROCESSES; TIME-REVERSIBILITY; SERIES;

D O I：

10.1111/jtsa.12139

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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 -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.

引用

页码：876 / 887

页数：12

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