A method for fitting stable autoregressive models using the autocovariation function

By Colin M. Gallagher. 2001

49 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c8eb60f880e8dcb64d867e2645052d2d0f7fd4bd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. B. Andrews
2. Richard A. Davis
3. Matt Calder
4. Christian Gouriéroux
5. A. C. Davison
6. Thomas Mikosch
7. Joann Jasiak
8. Claudia Klüppelberg

In Finance

1. B. Andrews
2. Richard A. Davis
3. Matt Calder
4. Thomas Mikosch
5. Peter J. Brockwell
6. Claudia Klüppelberg
7. Christian Gouriéroux
8. S. Rao

In Statistics and Probability

1. B. Andrews
2. Richard A. Davis
3. Konstantinos Fokianos
4. Peter J. Brockwell
5. Efstathios Paparoditis
6. Dimitris Nicolas Politis
7. Dominik Janzing
8. Wei Biao Wu

Citations in the corpus

• Maximum likelihood estimation for α-stable autoregressive processes (2009, background): “Specific applications for heavy-tailed AR models include fitting network interarrival times (Resnick [32]), sea surface temperatures (Gallagher [20]) and stock market log-returns (Ling [24]).”