Gouriéroux, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014
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 $\alpha2$. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients...