LÉVY PROCESS BASED ORNSTEIN-UHLENBECK TEMPERATURE MODEL WITH TIME VARYING SPEED OF MEAN REVERSION
DOI10.17654/AS053030199zbMath1422.62337OpenAlexW2891288595MaRDI QIDQ5229445
Leo Odongo, Philip Ngare, Nelson Christopher Dzupire
Publication date: 15 August 2019
Published in: Advances and Applications in Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.17654/as053030199
Wiener processneural networkstemperatureLévy processmean reversionresidualsOrnstein-Uhlenbecknormal inverse Gaussiandeseasonalizeddetrended
Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Applications of statistics to physics (62P35)
Cites Work
- Weather derivatives and stochastic modelling of temperature
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- Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
- Lévy Processes and Stochastic Calculus
- On modelling and pricing weather derivatives
- Dynamical pricing of weather derivatives
- The volatility of temperature and pricing of weather derivatives
- Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
- A simulation study of artificial neural networks for nonlinear time-series forecasting
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