Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
From MaRDI portal
Publication:1620056
DOI10.1016/j.physa.2016.07.041zbMath1400.60071OpenAlexW2487288103MaRDI QIDQ1620056
Radosław Zimroz, Agnieszka Wyłomańska, Janusz Gajda
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2016.07.041
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stable stochastic processes (60G52)
Related Items (5)
Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process ⋮ Stochastic modeling of currency exchange rates with novel validation techniques ⋮ Fractional Lévy stable motion time-changed by gamma subordinator ⋮ Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator ⋮ Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Correlation structure of fractional Pearson diffusions
- Langevin picture of Lévy walks and their extensions
- Geometric Brownian motion with tempered stable waiting times
- Lagging and leading coupled continuous time random walks, renewal times and their joint limits
- Stochastic representation of subdiffusion processes with time-dependent drift
- Tempered stable Lévy motion and transient super-diffusion
- Tempering stable processes
- Testing for independence in heavy-tailed time series using the codifference function
- Time series: theory and methods.
- Can one see \(\alpha\)-stable variables and processes?
- Stable continuous-time autoregressive process driven by stable subordinator
- Tempered stable Lévy motion driven by stable subordinator
- Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
- Codifference as a practical tool to measure interdependence
- Parameter estimation for ARMA models with infinite variance innovations
- Inefficient estimators of the bivariate survival function for three models
- On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
- Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
- High-frequency sampling and kernel estimation for continuous-time moving average processes
- Random Walks on Lattices. II
- Quantifying the non-ergodicity of scaled Brownian motion
- Regression-Type Estimation of the Parameters of Stable Laws
- A Method for Simulating Stable Random Variables
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
- Anomalous diffusion in correlated continuous time random walks
- Ornstein--Uhlenbeck Process with Non-Gaussian Structure
- Lévy-driven CARMA processes
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
This page was built for publication: Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
