The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously, it is said that the series is driven by white noise. This paper is aimed at...

In this paper we propose an on-line Bayesian filtering and smoothing method for time series models with heavy-tailed alpha-stable noise, with a particular focus on TVAR models. alpha-stable processes have been shown in the past to be a good model for many naturally occurring noise sources. We...