منابع مشابه
Moving Averages
More generally, weighted averages may also be used. Moving averages are also called running means or rolling averages. They are a special case of “filtering”, which is a general process that takes one time series and transforms it into another time series. The term “moving average” is used to describe this procedure because each average is computed by dropping the oldest observation and includi...
متن کاملBrownian Moving Averages
1.1. Overview. It is well known (see Soner, Shreve and Cvitanić [8], Levental and Skorokhod [6], Cherny [2]) that in the Black–Scholes–Merton model with proportional transaction costs the superreplication price of a European call option is equal to its trivial upper bound. The same is true for any European type contingent claim in this model (see Cvitanić, Pham and Touzi [3]). In the recent pap...
متن کاملGaussian Moving Averages and Semimartingales
In the present paper we study moving averages (also known as stochastic convolutions) driven by a Wiener process and with a deterministic kernel. Necessary and sufficient conditions on the kernel are provided for the moving average to be a semimartingale in its natural filtration. Our results are constructive meaning that they provide a simple method to obtain kernels for which the moving avera...
متن کاملLévy Moving Averages and Spatial Statistics
in collaboration with Nicky Best and Katja Ickstadt 1 ' & $ % Moving Averages One common and flexible way of constructing stationary time series (discrete-time stochastic processes) is to begin with an i.i.d. X i ≡ j b j ζ i−j where j typically runs from 0 to some finite q ∈ N (or occasionally from 0 to ∞ or even from −∞ to ∞). It is straightforward to compute the mean and covariance of X i and...
متن کاملBest Mean Square Prediction for Moving Averages
Best mean square prediction for moving average time series models is generally non-linear prediction, even in the invertible case. Gaussian processes are an exception, since best linear prediction is always best mean square prediction. Stable numerical recursions are proposed for computation of residuals and evaluation of unnormalized conditional distributions in invertible or non-invertible mo...
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ژورنال
عنوان ژورنال: Colloquium Mathematicum
سال: 2008
ISSN: 0010-1354,1730-6302
DOI: 10.4064/cm113-2-7