Convert Autoregressive Process from Direct to Continuous Time with Application
نویسندگان
چکیده
منابع مشابه
Bootstrapping continuous-time autoregressive processes
We develop a bootstrap procedure for Lévy-driven continuous-time autoregressive (CAR) processes observed at discrete regularly-spaced times. It is well known that a regularly sampled stationary Ornstein–Uhlenbeck process [i.e. a CAR(1) process] has a discrete-time autoregressive representation with i.i.d. noise. Based on this representation a simple bootstrap procedure can be found. Since regul...
متن کاملContinuous Time Autoregressive Models with Common Stochastic Trends
A multivariate continuous time model is presented in which a n-dimensional process is represented as the sum of k stochastic trends plus a n-dimensional stationary term, assumed to obey a system of higher-order autoregressive stochastic differential equations. When k < n, the variables are cointegrated and can be represented as linear combinations of a reduced number of common trends. An algori...
متن کاملAn Autoregressive Order 1 Process with Time Varying Coefficient
( ) ( ) ( ) t t / L L e 1 1 e t + − = ρ and 1 Y L − + = t t β α , that is, we investigate the nonlinear least squares estimator. Starting with the simplest case 0 = β , we find that ( ) ( ) ( ) 1 e 1 e t + − = α α ρ / which is just a constant so the estimator that minimizes the error sum of squares must be ( ) ( ) ( ) ρ ρ α ˆ / ˆ ˆ − + = 1 1 ln where ρ̂ is the usual regression estimate of (the c...
متن کاملLévy flights from a continuous-time process.
Lévy flight dynamics can stem from simple random walks in a system whose operational time (number of steps n) typically grows superlinearly with physical time t. Thus this process is a kind of continuous-time random walk (CTRW), dual to the typical Scher-Montroll model, in which n grows sublinearly with t. Models in which Lévy flights emerge due to a temporal subordination allow one easily to d...
متن کاملReal-Time Kinematic Network of Tehran, from Design to Application
Following the request of the Tehran municipality and in order to provide the spatial information required in their various projects, a real-time kinematic network has been designed for Tehran. Based on the existing measures such as the dilution of precision at the network point positions, two different designs have been proposed. A minimum number of six GNSS stations are used in both of the pro...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: AL-Rafidain Journal of Computer Sciences and Mathematics
سال: 2010
ISSN: 2311-7990
DOI: 10.33899/csmj.2010.163862