Statistical inference for ARTFIMA time series with stable innovations

Jinu Kabala; Farzad Sabzikar

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arXiv · 2103.07717

Statistical inference for ARTFIMA time series with stable innovations

Jinu Kabala·Farzad Sabzikar

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Abstract

Autoregressive tempered fractionally integrated moving average with stable innovations modifies the power-law kernel of the fractionally integrated time series model by adding an exponential tempering factor. The tempered time series is a stationary model that can exhibits semi-long-range dependence. This paper develops the basic theory of the tempered time series model, including dependence structure and parameter estimation.

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Jinu Kabala, Farzad Sabzikar. 2021-03-13. Statistical inference for ARTFIMA time series with stable innovations. https://arxiv.org/abs/2103.07717

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