Conjugate processes: theory and application to risk forecasting

DOI10.1016/j.spa.2017.06.002zbMath1436.60049arXiv1604.01472OpenAlexW2963667502MaRDI QIDQ681983

Eduardo Horta, Flávio Augusto Ziegelmann

Publication date: 13 February 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.01472

zbMATH Keywords

dimension reductionrandom measurecovariance operatorfunctional time seriesrisk forecastinghigh frequency financial data

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Inference from stochastic processes (62M99) Random measures (60G57) Nonparametric inference (62G99)

Related Items

Mixing conditions of conjugate processes

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