Wold decomposition, prediction and parameterization of stationary processes with infinite variance

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Abstract

A discrete time stochastic process {Χt} is said to be a p-stationary process (1

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Miamee, A. G., & Pourahmadi, M. (1988). Wold decomposition, prediction and parameterization of stationary processes with infinite variance. Probability Theory and Related Fields, 79(1), 145–164. https://doi.org/10.1007/BF00319110

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