Aggregation of random parameters Ornstein-Uhlenbeck or AR processes: some convergence results

Autor:	Georges Oppenheim, Marie-Claude Viano
Rok vydání:	2004
Předmět:	Statistics and Probability Applied Mathematics Gaussian Sample (statistics) Ornstein–Uhlenbeck process Random parameters Covariance Simple random sample symbols.namesake Autoregressive model Convergence (routing) symbols Applied mathematics Statistics Probability and Uncertainty Mathematics
Zdroj:	Journal of Time Series Analysis. 25:335-350
ISSN:	1467-9892 0143-9782
Popis:	It is shown that by aggregating simple random parameters, processes such as autoregressive micro-relationships or Ornstein-Uhlenbeck processes, one can obtain various seasonal long memory Gaussian models. The investigation concerns the discrete as well as the continuous time setting. In both situations the precise asymptotic behaviour of the covariance is studied. The regularity of sample paths is evaluated when possible.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::fd82bb7fe4634c4d6ddfbf999ec15e5c https://doi.org/10.1111/j.1467-9892.2004.01775.x Zobrazit plný text záznamu Plný text ve formátu PDF