Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes

DOI10.1111/jtsa.12507zbMath1466.62383OpenAlexW2979480265WikidataQ127098997 ScholiaQ127098997MaRDI QIDQ5121013

Rachid Senoussi, Valérie Girardin

Publication date: 16 September 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12507

zbMATH Keywords

Lévy processesjump processesautoregressive sequenceslinear autoregressive processesembedding issues

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on general state spaces (60J76)

Related Items

Time changes and stationarity issues for extended scalar autoregressive models

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