Estimation of Parameters from Discrete Random Nonstationary Time Series

DOI10.1143/PTPS.179.198MaRDI QIDQ5325430zbMATH OpenFDO

Authors H. Takayasu, Tomomichi Nakamura

Publication date 10 August 2009

Published in Progress of Theoretical Physics Supplement (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1143/PTPS.179.198

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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• Kinetic equation for simulation of non-stationary non-equidistant time-series
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