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).

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

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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⟩
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