Zobrazeno 1 - 10
of 31
pro vyhledávání: '"Curato, Imma Valentina"'
Influenced mixed moving average fields are a versatile modeling class for spatio-temporal data. However, their predictive distribution is not generally known. Under this modeling assumption, we define a novel spatio-temporal embedding and a theory-gu
Externí odkaz:
http://arxiv.org/abs/2301.00736
We obtain central limit theorems for stationary random fields employing a novel measure of dependence called $\theta$-lex weak dependence. We show that this dependence notion is more general than strong mixing, i.e., it applies to a broader class of
Externí odkaz:
http://arxiv.org/abs/2007.10874
Let $X$ be a continuous-time strongly mixing or weakly dependent process and $T$ a renewal process independent of $X$ with inter-arrival times $\tau$. We show general conditions under which the sampled process $(X_{T_i},T_i-T_{i-1})^{\top}$ is strong
Externí odkaz:
http://arxiv.org/abs/2007.00574
The stochastic leverage effect, defined as the standardized covariation between the returns and their related volatility, is analyzed in a stochastic volatility model set-up. A novel estimator of the effect is defined using a pre-estimation of the Fo
Externí odkaz:
http://arxiv.org/abs/1910.06660
We consider a mixed moving average (MMA) process X driven by a L\'evy basis and prove that it is weakly dependent with rates computable in terms of the moving average kernel and the characteristic quadruple of the L\'evy basis. Using this property, w
Externí odkaz:
http://arxiv.org/abs/1807.05801
We consider a L\'evy driven continuous time moving average process $X$ sampled at random times which follow a renewal structure independent of $X$. Asymptotic normality of the sample mean, the sample autocovariance, and the sample autocorrelation is
Externí odkaz:
http://arxiv.org/abs/1804.02254
Publikováno v:
In Econometrics and Statistics July 2022 23:53-82
Publikováno v:
In Journal of Statistical Planning and Inference December 2019 203:20-38
Autor:
Curato, Imma Valentina
Publikováno v:
In Stochastic Processes and their Applications September 2019 129(9):3207-3238
Publikováno v:
In Econometrics and Statistics April 2018 6:22-43