Discretization of continuous time discrete scale invariant processes: estimation and spectra
From MaRDI portal
Abstract: Imposing some flexible sampling scheme we provide some discretization of continuous time discrete scale invariant (DSI) processes which is a subsidiary discrete time DSI process. Then by introducing some simple random measure we provide a second continuous time DSI process which provides a proper approximation of the first one. This enables us to provide a bilateral relation between covariance functions of the subsidiary process and the new continuous time processes. The time varying spectral representation of such continuous time DSI process is characterized, and its spectrum is estimated. Also, a new method for estimation time dependent Hurst parameter of such processes is provided which gives a more accurate estimation. The performance of this estimation method is studied via simulation. Finally this method is applied to the real data of SP500 and Dow Jones indices for some special periods.
Recommendations
- Scale parameter estimation of discrete scale invariant processes
- Innovative methods for modeling of scale invariant processes
- A new structure for analyzing discrete scale invariant processes: covariance and spectra
- Characterization of discrete scale invariant Markov sequences
- Generalized likelihood ratio test for detection of multivariate DSI processes
Cites work
- A new structure for analyzing discrete scale invariant processes: covariance and spectra
- Certain periodically correlated multicomponent locally stationary processes
- Characterization of discrete scale invariant Markov sequences
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- scientific article; zbMATH DE number 503027 (Why is no real title available?)
- scientific article; zbMATH DE number 1038620 (Why is no real title available?)
- scientific article; zbMATH DE number 1072462 (Why is no real title available?)
- scientific article; zbMATH DE number 1086066 (Why is no real title available?)
- scientific article; zbMATH DE number 1959500 (Why is no real title available?)
- LASS: a tool for the local analysis of self-similarity
- Periodically Correlated Random Sequences
- Renormalization group analysis of the 2000-2002 anti-bubble in the US S\& P500 index: explanation of the hierarchy of five crashes and prediction
- Scale invariances and Lamperti transformations for stochastic processes
- Self-similarity index estimation via wavelets for locally self-similar processes
- Spectral analysis of multi-dimensional self-similar Markov processes
Cited in
(9)- Random discretization of stationary continuous time processes
- Characterization of discrete scale invariant Markov sequences
- A new structure for analyzing discrete scale invariant processes: covariance and spectra
- Scale parameter estimation of discrete scale invariant processes
- Time‐scale transformations of discrete time processes
- scientific article; zbMATH DE number 2099786 (Why is no real title available?)
- Innovative methods for modeling of scale invariant processes
- Generalized likelihood ratio test for detection of multivariate DSI processes
- Multi-scale invariant fields: estimation and prediction
This page was built for publication: Discretization of continuous time discrete scale invariant processes: estimation and spectra
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q315677)
