An innovation approach to non-Gaussian time series analysis

DOI10.1239/jap/1085496593zbMath1008.62086OpenAlexW2001897400MaRDI QIDQ3147829

Mitsunori Iino, Tohru Ozaki

Publication date: 10 April 2003

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1085496593

zbMATH Keywords

innovationsdiffusion processpoint processwhite noisefinancial time seriesLevy processPoisson noisenonlinear modelingexchange rate datanon-Gaussian time series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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