Statistical inference for ARTFIMA time series with stable innovations
Applications
2021-03-16 v1
Abstract
Autoregressive tempered fractionally integrated moving average with stable innovations modifies the power-law kernel of the fractionally integrated time series model by adding an exponential tempering factor. The tempered time series is a stationary model that can exhibits semi-long-range dependence. This paper develops the basic theory of the tempered time series model, including dependence structure and parameter estimation.
Cite
@article{arxiv.2103.07717,
title = {Statistical inference for ARTFIMA time series with stable innovations},
author = {Jinu Kabala and Farzad Sabzikar},
journal= {arXiv preprint arXiv:2103.07717},
year = {2021}
}