The dependence structure for PARMA models with alpha-stable innovations

Details The dependence structure for PARMA models with alpha-stable innovations The dependence structure for PARMA models with alpha-stable innovations

2006-08-13

arxiv.org/abs/physics/0608137v1

Physics

Data Analysis, Statistics and Probability

To be published in Acta Phys. Pol. B

Scientific paper

In this paper we investigate the dependence structure for PARMA models (i.e. ARMA models with periodic coefficients) with symmetric alpha-stable innovations. In this case the covariance function is not defined and therefore other measures of dependence have to be used. After obtaining the form of the bounded solution of the PARMA system with symmetric alpha-stable innovations, we study the codifference and the covariation -- the most popular measures of dependence defined for symmetric stable time series. We show that both considered measures are periodic. Moreover we determine the cases when the codifference and the covariation are asymptotically proportional with the coefficient of proportionality equal to alpha.

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