Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes
Publication:5121013
DOI10.1111/JTSA.12507zbMath1466.62383OpenAlexW2979480265WikidataQ127098997 ScholiaQ127098997MaRDI QIDQ5121013
Rachid Senoussi, Valérie Girardin
Publication date: 16 September 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12507
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on general state spaces (60J76)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Recent results in the theory and applications of CARMA processes
- Reducing non-stationary stochastic processes to stationarity by a time deformation
- ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
- Lévy–Driven Continuous–Time ARMA Processes
- Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
- Autoregressive series with random parameters
- Statistical Inference for Piecewise‐deterministic Markov Processes
- A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL
- A NOTE ON THE EMBEDDING OF DISCRETE‐TIME ARMA PROCESSES
- Simulation of Multivariate Diffusion Bridges
- Embedding a Gaussian discrete‐time autoregressive moving average process in a Gaussian continuous‐time autoregressive moving average process
- Functions of Matrices
- On square-integrability of an AR process with Markov switching
This page was built for publication: Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes
