Leonenko, Nikolai N. ![]() ![]() |
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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: | 30 Nov 2024 08:45 |
URI: | https://orca.cardiff.ac.uk/id/eprint/121914 |
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