Leonenko, Nikolai N.  ORCID: https://orcid.org/0000-0003-1932-4091 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 |
|---|---|
| Date Type: | Publication |
| Status: | Published |
| Schools: | Schools > Mathematics |
| Publisher: | Taylor & Francis |
| ISSN: | 0361-0926 |
| Date of First Compliant Deposit: | 24 April 2019 |
| Date of Acceptance: | 24 April 2019 |
| Last Modified: | 30 Nov 2024 08:45 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/121914 |
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