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

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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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:	30 Nov 2024 08:45
URI:	https://orca.cardiff.ac.uk/id/eprint/121914

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