scientific article; zbMATH DE number 6703664
zbMATH Open1361.60066MaRDI QIDQ2974530FDOQ2974530
Publication date: 10 April 2017
Full work available at URL: http://alea.impa.br/articles/v14/14-13.pdf
Title of this publication is not available (Why is that?)
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- NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE
stationaritystochastic differential equationrandom coefficientsautoregressive moving average processmultivariate generalized Ornstein-Uhlenbeck processLévy process
Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
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Cited In (6)
- Title not available (Why is that?)
- Autoregressive sequences via Lévy processes
- Lévy–Driven Continuous–Time ARMA Processes
- A Levinson-Durbin recursion for autoregressive-moving average processes
- Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications
- Sample path generation of Lévy-driven continuous-time autoregressive moving average processes
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