“Infinite Variance” and Research Strategy in Time Series Analysis
时间序列分析中的“无限方差”与研究策略
The possibility that some time series that arise in economics have error or innovation terms that come from infinite variance distributions throws doubt on most of the classical methods of analysis. The evidence in favor of infinite-variance is discussed and a variety of alternative explanations of the long-tailed property of observed distributions examined. Some of these alternative explanations are based on mixtures of distributions and suggest data-transformations that…