Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence
نویسندگان
چکیده
منابع مشابه
Long Range Dependence in Heavy Tailed Stochastic Processes
The notion of long range dependence has traditionally been deened through a slow decay of correlations. This approach may be completely inappropriate in the case of a stochastic process with heavy tails. Yet long memory has been reported to be found in various elds where heavy tails are a standard feature of the commonly used stochastic models. Financial and communications networks data are amo...
متن کاملStochastic Volatility with Long–Range Dependence
Since Merton (1969), the description of a contingent claim as a Brownian motion is commonly accepted. Thus an option price, a future price, a share price, a bond price, interest rates etc., can be modelled with a Brownian motion. In summary, any financial series which present value depends on only a few previous values, may be modelled with a continuous–time diffusion–type process. The general ...
متن کاملFractional Processes with Long-range Dependence
Abstract. We introduce a class of Gaussian processes with stationary increments which exhibit long-range dependence. The class includes fractional Brownian motion with Hurst parameter H > 1/2 as a typical example. We establish infinite and finite past prediction formulas for the processes in which the predictor coefficients are given explicitly in terms of the MA(∞) and AR(∞) coefficients. We a...
متن کاملStochastic Processes in Continuous Time
1 Basic Concepts 3 1.1 Notions of equivalence of stochastic processes . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1.2 Sample path properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.3 Properties of filtrations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 1.4 Stopping times . . . . . . . . . . . . . . . . . ....
متن کاملStatistical Aspects of Stationary Processes with Long-range Dependence
The assumption of independence is often only an approximation to the real correlation structure. Models with short-range memory are well known and often used in practice. However even for supposedly i.i.d. high~uality data slowly decaying correlations may occur. If not taken into account, they have disastrous effects on tests and confidence intervals. Stationary processes with a pole of the spe...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics
سال: 2004
ISSN: 1369-1473,1467-842X
DOI: 10.1111/j.1467-842x.2004.00329.x