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.

In this paper we address the issue of modeling and forecasting electricity loads. We apply a two-step procedure to a series of system-wide loads from the California power market. First, we remove the weekly and annual seasonalities. Then, after analyzing properties of the deseasonalized data we...

In this paper, motivated by [2], we derive necessary and sufficient conditions for bounded and periodically correlated solutions to the system of equations described by ARMA(1,q) model.