Martingale approximations for continuous-time and discrete-time stationary Markov processes
β Scribed by Hajo Holzmann
- Book ID
- 108266775
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 241 KB
- Volume
- 115
- Category
- Article
- ISSN
- 0304-4149
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π SIMILAR VOLUMES
This paper derives the formulae for an exact discrete time representation corresponding to a system of higher-order stochastic differential equations. The formulae are applicable in stationary, non-stationary and explosive systems and for data observed as a mixture of both stock and flow variables.
We show that a non-trivial continuous-time strictly -stable, β (0; 2), stationary process cannot be represented in distribution as a discrete linear process where {f t } tβR is a collection of deterministic functions and { n } nβZ are independent strictly -stable random variables. Analogous results