Conjugate processes: theory and application to risk forecasting

DOI10.1016/J.SPA.2017.06.002zbMATH Open1436.60049OpenAlexW2963667502MaRDI QIDQ681983FDOQ681983

Authors Eduardo Horta, Flavio 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 reductionfunctional time seriesrandom measurecovariance operatorrisk forecastinghigh frequency financial data

Mathematics Subject Classification ID

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

Abstract: Many dynamical phenomena display a cyclic behavior, in the sense that time can be partitioned into units within which distributional aspects of a process are homogeneous. In this paper, we introduce a class of models - called conjugate processes - allowing the sequence of marginal distributions of a cyclic, continuous-time process to evolve stochastically in time. The connection between the two processes is given by a fundamental compatibility equation. Key results include Laws of Large Numbers in the presented framework. We provide a constructive example which illustrates the theory, and give a statistical implementation to risk forecasting in financial data.

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Cited in

(1)

• Mixing conditions of conjugate processes

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