Title:
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An alternative to CARMA models via iterations of Ornstein–Uhlenbeck processes
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Author:
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Arratia Quesada, Argimiro Alejandro; Cabaña, Ana Alejandra; Cabaña Perez, Enrique
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Other authors:
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Universitat Politècnica de Catalunya. Departament de Ciències de la Computació; Universitat Politècnica de Catalunya. LARCA - Laboratori d'Algorísmia Relacional, Complexitat i Aprenentatge |
Abstract:
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We present a new construction of continuous ARMA processes based on iterating an Ornstein–Uhlenbeck operator OUκ that maps a random variable y(t) onto OUκy(t)=∫t−∞e−κ(t−s)dy(s). This construction resembles the procedure to build an AR( p) from an AR(1) and derives in a parsimonious model for continuous autoregression, with fewer parameters to compute than the known CARMA obtained as a solution of a system of stochastic differential equations. We show properties of this operator, give state space representation of the iterated Ornstein–Uhlenbeck process and show how to estimate the parameters of the model. |
Subject(s):
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-Àrees temàtiques de la UPC::Matemàtiques i estadística -Stochastic processes -Processos estocàstics |
Rights:
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Document type:
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Article - Published version Conference Object |
Published by:
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Springer
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