重尾时间序列的参数通用频谱

Parametric generalized spectrum for heavy-tailed time series

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 mom