Statistical inference for ARTFIMA time series with stable innovations

03/13/2021

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by   Jinu Kabala, et al.

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Autoregressive tempered fractionally integrated moving average with stable innovations modifies the power-law kernel of the fractionally integrated time series model by adding an exponential tempering factor. The tempered time series is a stationary model that can exhibits semi-long-range dependence. This paper develops the basic theory of the tempered time series model, including dependence structure and parameter estimation.