Predicting linear autoregressive processes with fixed jumps in derivative and exogenous random variables - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Annales de l'ISUP Année : 2018

Predicting linear autoregressive processes with fixed jumps in derivative and exogenous random variables

Résumé

In the context of autoregressive linear process, with exogenous random variables, say ARHX (p, q, k), We envisage derivative of order p, exogenous random variables of order q and k fixed jumps. Prediction and exponential rates are obtained in the context of exogenous random variables. Also, high frequency data holds with derivative, and one obtains jump in derivative of order (p + 1).
Fichier principal
Vignette du fichier
Pages de DEP_8-V-64396_(2015-2019)-34.pdf (6.24 Mo) Télécharger le fichier
Origine : Accord explicite pour ce dépôt

Dates et versions

hal-03604620 , version 1 (10-03-2022)

Identifiants

  • HAL Id : hal-03604620 , version 1

Citer

Denis Bosq. Predicting linear autoregressive processes with fixed jumps in derivative and exogenous random variables. Annales de l'ISUP, 2018, 62 (3), pp.75-94. ⟨hal-03604620⟩
11 Consultations
3 Téléchargements

Partager

Gmail Facebook X LinkedIn More