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Original Articles

A note on nonstationary arma processes with infinite variance

Pages 1821-1826 | Received 01 Dec 1990, Published online: 27 Jun 2007

References

  • Cline , D.B.H. and Brockwell , P.J. 1985 . Linear Prediction of ARIMA processes with infinite variance . Stoc. Processes and their Appl , 19 : 281 – 296 .
  • Feller , W. 1966 . An Introduction to Probability Theory and its Applications , Vol. 2 , Wiley .
  • Granger , C.W.J. and Orr , D. 1972 . Infinite variance and research strategy in time series analysis . JASA , 67 : 275 – 285 .
  • Niemi , H. 1983 . On effects of a nonstationary noise on ARMA models . Scand. J. Statist , 10 : 11 – 17 .
  • Priestly , M.B. 1988 . Nonlinear and Nonstationary Time series analysis , London : Academic Press .
  • Stuck , B.W. 1978 . Minimum error dispersion linear filtering of scalar symmetric stable processes . IEEE Trans.Aut. Cont , 23 : 507 – 509 .

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