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Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator

Leonenko, Nikolai N. and Papic, Ivan 2020. Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator. Communications in Statistics - Theory and Methods 49 (20) , pp. 5091-5113. 10.1080/03610926.2019.1612918

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Abstract

We define the delayed Lévy-driven continuous-time autoregressive process via the inverse of the stable subordinator. We derive correlation structure for the observed non-stationary delayed Lévy-driven continuous-time autoregressive processes of order p, emphasizing low orders, and we show they exhibit long-range dependence property. Distributional properties are discussed as well

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Taylor & Francis
ISSN: 0361-0926
Date of First Compliant Deposit: 24 April 2019
Date of Acceptance: 24 April 2019
Last Modified: 24 Sep 2020 12:58
URI: http://orca.cf.ac.uk/id/eprint/121914

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