Theoretical properties of the sample generalized codifference function of stable moving average process

Abstract The generalized codifference function as a dependence measure for stationary processes with infinite variance has been proposed as a generalization of the autocorrelation function. In this paper we investigate the theoretical properties of estimator of generalized codifference function of s...

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Bibliographic Details
Published inJournal of physics. Conference series Vol. 1918; no. 4; pp. 42041 - 42046
Main Authors Kharisudin, I, Rosadi, D
Format Journal Article
LanguageEnglish
Published Bristol IOP Publishing 01.06.2021
Subjects
Autocorrelation functions
Codification
Physics
Stationary processes
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Summary:Abstract The generalized codifference function as a dependence measure for stationary processes with infinite variance has been proposed as a generalization of the autocorrelation function. In this paper we investigate the theoretical properties of estimator of generalized codifference function of stable moving average process. Some theoretical properties of the sample codifference function of moving average process for small order are discussed.
ISSN:1742-6588
1742-6596
DOI:10.1088/1742-6596/1918/4/042041