Exploració per autor "Cabaña Perez, Enrique"
Ara es mostren els items 1-3 de 3
-
A construction of continuous-time ARMA models by iterations of Ornstein-Uhlenbeck processes
(Institut d'Estadística de Catalunya, 2016-12)
Article
Accés obertWe present a construction of a family of continuous-time ARMA processes based on p iterations of the linear operator that maps a Lévy process onto an Ornstein-Uhlenbeck process. The construction resembles the procedure to ... -
An alternative to CARMA models via iterations of Ornstein–Uhlenbeck processes
(Springer, 2015)
Text en actes de congrés
Accés restringit per política de l'editorialWe present a new construction of continuous ARMA processes based on iterating an Ornstein–Uhlenbeck operator OUκ that maps a random variable y(t) onto OUκy(t)=∫t−∞e−κ(t−s)dy(s). This construction resembles the procedure ... -
Embedding in law of discrete time ARMA processes in continuous time stationary processes
(2018-12-01)
Article
Accés obertGiven any stationary time series {Xn : n ¿ Z} satisfying an ARMA(p, q) model for arbitrary p and q with infinitely divisible innovations, we construct a continuous time stationary process {xt : t ¿ R} such that the ...
