Parameter estimation for Gegenbaeur Arfisma processes with infinite variance innovations,Communications in Statistics - Theory and Methods

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Parameter estimation for Gegenbaeur Arfisma processes with infinite variance innovations
Communications in Statistics - Theory and Methods ( IF 0.8 ) Pub Date : 2024-02-06 , DOI: 10.1080/03610926.2024.2307453
Filamory Abraham Michael Keïta ₁ , Ouagnina Hili ₁ , Serge-Hippolyte Arnaud Kanga ₁

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In this study, we consider the Gegenbauer ARFISMA process with α-stable innovations which belong to the class of infinite variance time series. This is a finite parameter model that exhibits long-r...

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