A Probability Path

  • Adelman I
  • Andrews D
  • Serfling R
 et al. 
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Abstract

© 2016 Pushpa Publishing House, Allahabad, India. In this paper, we obtain certain results related to the generalized codifference function of symmetric α-stable moving average of order 1 (SαS MA(1)). Generalized codifference function as a dependence measure for stationary processes with infinite variance has been proposed as a generalization of the autocorrelation function. We derive the limiting distribution of the sample codifference function, when underlying model is MA(1) with symmetric α-stable innovation.

Author-supplied keywords

  • Dependence measure
  • Empirical characteristic function
  • Infinite variance
  • Limiting distribution
  • Symmetric α-stable

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Authors

  • I Adelman

  • D W K Andrews

  • Robert J Serfling

  • W H DuMouchel

  • I B Aban

  • M M Meerschaert

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