Modelling and Prediction of Financial Time Series
نویسنده
چکیده
We consider statistical aspects of the modelling and prediction theory of time series in one and many dimensions. We discuss Lévy-based and general models, and the stationary and non-stationary cases. Our starting point is the recent pair of surveys, Szegö’s theorem and its probabilistic descendants and Multivariate prediction and matrix Szegö theory, by this author.
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