Theoretical properties of the sample generalized codifference function of stable moving average process

Autor:	Dedi Rosadi, Iqbal Kharisudin
Rok vydání:	2021
Předmět:	History Generalization Autocorrelation Estimator Sample (statistics) Function (mathematics) Variance (accounting) Statistical physics Moving-average model Measure (mathematics) Computer Science Applications Education Mathematics
Zdroj:	Journal of Physics: Conference Series. 1918:042041
ISSN:	1742-6596 1742-6588
DOI:	10.1088/1742-6596/1918/4/042041
Popis:	The generalized codifference function as a dependence measure for stationary processes with infinite variance has been proposed as a generalization of the autocorrelation function. In this paper we investigate the theoretical properties of estimator of generalized codifference function of stable moving average process. Some theoretical properties of the sample codifference function of moving average process for small order are discussed.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::ba532183cf63abaddfd62c1db9f139d4 https://doi.org/10.1088/1742-6596/1918/4/042041 Zobrazit plný text záznamu