ACADSTAFF UGM
| Title | : | THE ASYMPTOTIC PROPERTY OF THE SAMPLE GENERALIZED CODIFFERENCE FUNCTION OF STABLE MA(1) |
| Author | : |
IQBAL KHARISUDIN (1) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (2) Dr. Abdurakhman (3) Suhartono (4) |
| Date | : | 1 2016 |
| Keyword | : | Dependence measure, Empirical characteristic function, Infinite variance, Limiting distribution, Symmetric ?-stable Dependence measure, Empirical characteristic function, Infinite variance, Limiting distribution, Symmetric ?-stable |
| Abstract | : | In this paper, we obtain certain results related to the generalized codifference function of symmetric ?-stable moving average of order 1 (S?S 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 ?-stable innovation. © 2016 Pushpa Publishing House, Allahabad, India. |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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