Parametric generalized spectrum for heavy-tailed time series

原文摘要

Recently, several spectra have emerged, designed to encapsulate the distributional characteristics of non-Gaussian stationary processes. This article introduces parametric families of generalized spectra based on the characteristic function, alongside inference procedures enabling $\sqrt{n}$-consistent estimation of the unknown parameters in a broad class of parametric models. These spectra capture non-linear dependencies without requiring that the underlying stochastic processes satisfy any moment assumptions. Crucially, this approach facilitates frequency domain analysis for heavy-tailed time series, including possibly non-causal Cauchy autoregressive models and discrete-stable integer-valued autoregressive models. To the best of our knowledge, the latter models have not been studied theoretically in the literature. By estimating parameters across both causal and non-causal parameter spaces, our method automatically identifies the causal or non-causal structure of Cauchy autoregressive models. Furthermore, our estimator does not depend on smoothing parameters since it is based on the integrated periodogram associated with the generalized spectrum. As applications, we develop goodness-of-fit tests, moving average unit-root tests, and tests for non-invertibility. We study the finite-sample performance of the proposed estimators and tests via Monte Carlo simulations, and apply the methodology to estimation and forecasting of a measles count dataset. We evaluate finite-sample performance using Monte Carlo simulations and illustrate the practical value of the procedure with an application to measles case-count estimation and forecasting.

摘要来源：arXiv