Stable continuous-time autoregressive process driven by stable subordinator
From MaRDI portal
Publication:1619074
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
Related Items
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Correlation structure of fractional Pearson diffusions
- Geometric Brownian motion with tempered stable waiting times
- Estimating the codifference function of linear time series models with infinite variance
- Correlation cascades, ergodic properties and long memory of infinitely divisible processes
- Multivariate CARMA processes
- Time series: theory and methods.
- On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
- Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
- Codifference as a practical tool to measure interdependence
- Parameter estimation for ARMA models with infinite variance innovations
- Inefficient estimators of the bivariate survival function for three models
- Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
- Comment on fractional Fokker-Planck equation with space and time dependent drift and diffusion
- High-frequency sampling and kernel estimation for continuous-time moving average processes
- The tempered stable process with infinitely divisible inverse subordinators
- Regression-Type Estimation of the Parameters of Stable Laws
- Financial Modelling with Jump Processes
- Subordinated diffusion and continuous time random walk asymptotics
- Ornstein--Uhlenbeck Process with Non-Gaussian Structure
- An equilibrium characterization of the term structure
- Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
- Lévy-driven CARMA processes
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
