مورد إلكتروني
A construction of continuous-time ARMA models by iterations of Ornstein-Uhlenbeck processes
| العنوان: | A construction of continuous-time ARMA models by iterations of Ornstein-Uhlenbeck processes |
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| المؤلفون: | Universitat Politècnica de Catalunya. Departament de Ciències de la Computació, Universitat Politècnica de Catalunya. LARCA - Laboratori d'Algorísmia Relacional, Complexitat i Aprenentatge, Arratia Quesada, Argimiro Alejandro, Cabaña, Ana Alejandra, Cabaña Perez, Enrique |
| بيانات النشر: | Institut d'Estadística de Catalunya 2016-12 |
| نوع الوثيقة: | Electronic Resource |
| مستخلص: | We 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 build an AR(p) from an AR(1). We show that this family is in fact a subfamily of the well-known CARMA(p,q) processes, with several interesting advantages, including a smaller number of parameters. The resulting processes are linear combinations of Ornstein-Uhlenbeck processes all driven by the same L´evy process. This provides a straightforward computation of covariances, a state-space model representation and methods for estimating parameters. Furthermore, the discrete and equally spaced sampling of the process turns to be an ARMA(p, p-1) process. We propose methods for estimating the parameters of the iterated Ornstein-Uhlenbeck process when the noise is either driven by a Wiener or a more general Lévy process, and show simulations and applications to real data. Peer Reviewed Postprint (published version) |
| مصطلحات الفهرس: | Àrees temàtiques de la UPC::Matemàtiques i estadística, Lévy processes, Ornstein-Uhlenbeck process, Stochastic processes, Lévy process, Continuous ARMA, Stationary process, Lévy, Processos de, Processos estocàstics, Article |
| URL: | |
| الإتاحة: | Open access content. Open access content http://creativecommons.org/licenses/by-nc-nd/3.0/es Open Access |
| ملاحظة: | 36 p. application/pdf English |
| أرقام أخرى: | HGF oai:upcommons.upc.edu:2117/102108 Arratia, A., Cabaña, A., Cabaña, E. M. A construction of continuous-time ARMA models by iterations of Ornstein-Uhlenbeck processes. "SORT: statistics and operations research transactions", Desembre 2016, vol. 40, núm. 2, p. 267-302. 1696-2281 10.2436/20.8080.02.44 978332627 |
| المصدر المساهم: | UNIV POLITECNICA DE CATALUNYA From OAIster®, provided by the OCLC Cooperative. |
| رقم الأكسشن: | edsoai.ocn978332627 |
| قاعدة البيانات: | OAIster |
| الوصف غير متاح. |