Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes

DOI10.1111/JTSA.12507MaRDI QIDQ5121013zbMATH OpenOpenAlexWikidataFDO

Authors Valérie Girardin, R. Senoussi

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

zbMATH Keywords

autoregressive sequencesembedding issuesjump processeslinear autoregressive processesLévy processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on general state spaces (60J76) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(3)

• A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL
• Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
• Time changes and stationarity issues for extended scalar autoregressive models

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