We consider a simple stationary bilinear model Xₜ = cXₜ₋₁ Zₜ₋₁ + Zₜ, t = 0, ± 1, ± 2, , generated by heavy-tailed noise variables Zₜ. A complete analysis of weak limit behavior is given by means of a point process analysis. A striking feature of this analysis is that the sample correlation converges in distribution to a nondegenerate limit. A warning is sounded about trying to detect nonlinearities in heavy-tailed models by means of the sample correlation function.
No takes yet. Share an insight, caveat, or question.
Davis et al. (1996) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: