On uniqueness of moving average representations of heavy-tailed stationary processes

We prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha<2$. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients and the distribution of the heavy-tailed i.i.d. process.

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Year of publication:	2014-03-31
Authors:	Gouriéroux, Christian ; Zakoian, Jean-Michel
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	$\alpha$-stable distribution \| Domain of attraction \| Infinite moving average \| Linear process \| Mixed causal/noncausal process \| Nonparametric identification \| Unobserved component model

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011107938