搜索结果: 1-6 共查到“Moving Average Processes”相关记录6条 . 查询时间(0.083 秒)
FunctionaL Regular Variation of Levy-driven Multivariate Mixed Moving Average Processes
cadlag sample paths functional regular variation heavy tails Levy basis mixed moving average process
2012/4/18
We consider the functional regular variation in the space $\mathbb{D}$ of c\`adl\`ag functions of multivariate mixed moving average (MMA) processes of the type $X_t = \int\int f(A, t - s) \Lambda (d A...
High-frequency sampling and kernel estimation for continuous-time moving average processes
CARMA process continuous-time moving average process discretely sampled process FICARMA process gamma kernel
2011/9/19
Abstract: Interest in continuous-time processes has increased rapidly in recent years, largely because of the high-frequency data available in many areas of application, particularly in finance and tu...
Long Strange Segments,Ruin Probabilities and the Effect of Memory on Moving Average Processes
Long Strange Segments Ruin Probabilities Effect Memory Moving Average Processes
2010/3/11
We obtain the rate of growth of long strange segments and the
rate of decay of infinite horizon ruin probabilities for a class of infinite moving
average processes with exponentially light tails. Th...
On continuous-time autoregressive fractionally integrated moving average processes
antipersistence autocovariance fractional Brownian motion long memory spectraldensity
2010/3/18
In this paper, we consider a continuous-time autoregressive fractionally integrated moving average(CARFIMA) model, which is defined as the stationary solution of a stochastic differential
equation dr...
On the precise asymptotics in complete moment convergence of moving average processes under NA random variables
Complete convergence Moving average Negatively associated random variable
2010/9/10
On the precise asymptotics in complete moment convergence of moving average processes under NA random variables.
A METHOD TO FACTORIZE THE SPECTRAL DENSITY OF MULTIPLE MOVING AVERAGE PROCESSES
Multiple MA process spectral factorizat
2007/12/17
Sometimes we have to compute the parameters of a multiple moving average process from its known autocovariances or spectral density. This paper proposes an iterative method by establishing a state spa...