A general approach for modeling the volatility process in continuous-time is based on the convolution of a kernel with a non-decreasing Lévy process, which is non-negative if the kernel is non-negative. Within the framework of Continuous-time Auto-Regressive Moving-Average (CARMA) processes, we derive a necessary condition for the kernel to be non-negative, and propose a numerical method for ch...

Recently, there are much works on developing models suitable for analyzing the volatility of a discrete-time process. Within the framework of Auto-Regressive Moving-Average (ARMA) processes, we derive a necessary and sufficient condition for the kernel to be non-negative. This condition is in terms of the generating function of the ARMA kernel which has a simple form. We discuss some useful con...

The sustainable development of China’s financial leasing industry is a growing concern among scholars. This paper analyzes the data from 2008–2021, using dimensions scale, speed, efficiency, structure, and quality. By employing principal component analysis, we construct index analyze reasons for changes in level internal structure index. study finds that scale serves as key factor industry. Whi...

There is a compelling need to accurately and efficiently compute option values. Existing literature shows that models based on constant stock volatilities have been widely used in option valuation. However, stock volatilities change constantly in real life situations. The introduction of the Auto Regressive Conditional Heteroskedasticity (ARCH) model and subsequently, the Generalized Auto Regre...

A correctly derived Auto Regressive (AR) model can not always optimize the intended approximation. An optimal model should balance bias, caused by under-fitting, and additional variance, caused by over-fitting. The selection of this optimal AR-model is a combination of AR-order estimation and the reduction of the number of coefficients by pruning. We leave the classical approach of ARorder esti...

At present Internet has emerged as a country's predominant and viable data communication infrastructure. Autonomous System (AS) topology occupies the top position in the Internet infrastructure hierarchy. The AS resources which are building blocks of the topology such as AS numbers, IPv4 and IPv6 Prefixes are globally competitive because of the finite resource pool. The resource requirement of ...

Nha Trang Coast is located in the South Central Vietnam and coastal erosion has occurred rapidly recent years. Hence it crucial to accurately monitor shoreline changes for better management reduction of risks communities. In this paper, we explored a statistical forecasting model, Seasonal Auto-regressive Integrated Moving Average (SARIMA), two Machine Learning (ML) models, Neural Network Auto-...

C. L. Wu and K. W. Chau* 2 Dept. of Civil and Structural Engineering, Hong Kong Polytechnic University, 3 Hung Hom, Kowloon, Hong Kong, People’s Republic of China 4 5 *Email: [email protected] 6 ABSTRACT 7 Data-driven techniques such as Auto-Regressive Moving Average (ARMA), K-Nearest-Neighbors (KNN), and 8 Artificial Neural Networks (ANN), are widely applied to hydrologic time series predi...

Adaptive power and rate control for efficient use of satellite channels in the Ka band are considered. Fading due to rain is modeled as a log-normally distributed, auto-regressive process with known statistics. Adaptation policies based on MMSE channel estimation are designed taking into account the effect of channel estimation errors in an optimal manner so as to satisfy the required outage pr...