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A characterization of ARMA and Fractional ARIMA models with infinitely divisible innovations
Asymptotic dependence Infinitely divisible distributions ARMA Fractionally integrated ARMA Stable distributions Long memory
2010/4/27
The object of this paper is to study the asymptotic dependence structure of the linear
time series models with infinitely divisible innovations by the use of their characteristic
functions. Autoregr...