Stable continuous-time autoregressive process driven by stable subordinator

DOI10.1016/j.physa.2015.10.081zbMath1400.60108OpenAlexW2238350878MaRDI QIDQ1619074

Janusz Gajda, Agnieszka Wyłomańska

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.10.081

zbMATH Keywords

estimationsimulationsubordinationOrnstein-Uhlenbeck processCARMA processcodifference

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

Related Items (9)

Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system ⋮ Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process ⋮ Stochastic modeling of currency exchange rates with novel validation techniques ⋮ Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator ⋮ Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario ⋮ Autoregressive model with double Pareto distributed noise ⋮ Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient ⋮ Aspects of non‐causal and non‐invertible CARMA processes ⋮ Empirical anomaly measure for finite-variance processes

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