Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients

We derive the asymptotic behavior of two measures of dependence (Codifference and Covariation) for ARMA(1,2) models with symmetric alpha-stable innovations and non-stationary coefficients.

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Year of publication:	2004
Authors:	Wylomanska, Agnieszka
Institutions:	Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Subject:	ARMA model \| Stable distribution \| Codifference \| Covariation

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Extent:	application/pdf
Series:	HSC Research Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number HSC/04/06 9 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

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