Conjugate processes: theory and application to risk forecasting
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Publication:681983
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
dimension reductionrandom measurecovariance operatorfunctional time seriesrisk forecastinghigh frequency financial data
Stationary stochastic processes (60G10) Inference from stochastic processes (62M99) Random measures (60G57) Nonparametric inference (62G99)
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