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Infinite variance stable moving averages with long memory

Piotr S. Kokoszka
Murad S. Taqqu

Abstract:

We investigate the notion of long memory for infinite variance moving averages with stable non-Gaussian innovations and regularly varying coefficients. Regularly varying coefficients decay to zero like as , where L is a slowly varying function. We study the asymptotic behavior of two measures of dependence, the codifference and the covariation, which are extensions of the covariance.