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Modeling long-range dependent Gaussian processes with application in continuous-time financial models

机译：利用连续时间金融模型中的长程相关高斯过程建模

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This paper considers a class of nonstationary Gaussian processes with possible long-range dependence (LRD) and intermittency.The author proposes a new estimation method to simultaneously estimate both the LRD and intermittency parameter. An application of the proposed estimation method to a continuous-time financial model is discussed.

机译：本文考虑了一类可能具有长期依赖关系和间歇性的非平稳高斯过程。作者提出了一种同时估计LRD和间歇性参数的新估计方法。讨论了所提出的估计方法在连续时间财务模型中的应用。

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作者
Gao Jiti;
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年度 2002
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原文格式 PDF
正文语种 {"code":"en","name":"English","id":9}
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1. Modelling long-range-dependent Gaussian processes with application in continuous-time financial models [J] . Gao JT Journal of Applied Probability . 2004,第2期

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2. Nonlinear models for strongly dependent processes with financial applications [J] . Richard T. Baillie, George Kapetanios Journal of Econometrics . 2008,第1期

机译：具有财务应用程序的高度依赖过程的非线性模型
3. Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing [J] . HOLGER DETTE, MARK PODOLSKIJ, MATHIAS VETTER Scandinavian journal of statistics . 2006,第2期

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4. Modeling Long-Range Dependent VBR Traffic Using Synthetic Markov-Gaussian TES Models [C] . I-Hui Li Next Generation Teletraffic and Wired/Wireless Advanced Networking . 2008

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5. Stochastic Modeling with Temporally Dependent Gaussian Processes Applications to Financial Engineering, Pricing and Risk Management. [D] . Scansaroli, Daniel Jonathan. 2012

机译：具有临时依赖的高斯过程的随机建模在金融工程，定价和风险管理中的应用。
6. Joint estimation of multiple dependent Gaussian graphical models withapplications to mouse genomics [O] . Yuying Xie, Yufeng Liu, William Valdar -1

机译：具有多个依赖高斯图形模型的联合估计在小鼠基因组学中的应用
7. Modeling long-range dependent Gaussian processes with application in continuous-time financial models [O] . Gao Jiti 100

机译：利用连续时间金融模型中的长程相关高斯过程建模
8. High-Level Adaptive Signal Processing Architecture with Applications to Radar Non-Gaussian Clutter. Volume 3. Spherically Invariant Random Processes for Radar Clutter Modeling, Simulation, and Distribution Identification [R] . Rangaswamy, M. 1995

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Modeling long-range dependent Gaussian processes with application in continuous-time financial models

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