Long range dependence for stable random processes
Work
Year: 2020
Type: article
Abstract: We investigate long and short memory in ‐stable moving averages and max‐stable processes with ‐Fréchet marginal distributions. As these processes are heavy‐tailed, we rely on the notion of long range ... more
Source: Journal of Time Series Analysis
Institution University of Siegen
Cites: 56
Cited by: 5
Related to: 10
FWCI: 0.653
Citation percentile (by year/subfield): 82.45
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: hybrid
APC paid (est): $4,020