Gouriéroux, Christian and Zakoian, JeanMichel (2014): On uniqueness of moving average representations of heavytailed stationary processes.

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Abstract
We prove the uniqueness of linear i.i.d. representations of heavytailed processes whose distribution belongs to the domain of attraction of an $\alpha$stable law, with $\alpha<2$. This shows the possibility to identify nonparametrically both the sequence of twosided moving average coefficients and the distribution of the heavytailed i.i.d. process.
Item Type:  MPRA Paper 

Original Title:  On uniqueness of moving average representations of heavytailed stationary processes 
Language:  English 
Keywords:  $\alpha$stable distribution; Domain of attraction; Infinite moving average; Linear process; Mixed causal/noncausal process; Nonparametric identification; Unobserved component model. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models 
Item ID:  54907 
Depositing User:  Pr. JeanMichel Zakoian 
Date Deposited:  01 Apr 2014 05:47 
Last Modified:  01 Oct 2019 15:10 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/54907 