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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Official URL: https://doi.org/10.1080/03610926.2019.1612918
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 |
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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: | 25 Nov 2020 01:55 |
URI: | http://orca.cf.ac.uk/id/eprint/121914 |
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