Embedding in law of discrete time ARMA processes in continuous time stationary processes

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Título:	Embedding in law of discrete time ARMA processes in continuous time stationary processes
Autor/a:	Arratia Quesada, Argimiro Alejandro; Cabaña, Ana Alejandra; Cabaña Perez, Enrique
Otros autores:	Universitat Politècnica de Catalunya. Departament de Ciències de la Computació; Universitat Politècnica de Catalunya. LARCA - Laboratori d'Algorísmia Relacional, Complexitat i Aprenentatge
Abstract:	© 2018. This version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Abstract:	Given any stationary time series {Xn : n ¿ Z} satisfying an ARMA(p, q) model for arbitrary p and q with infinitely divisible innovations, we construct a continuous time stationary process {xt : t ¿ R} such that the distribution of {xn : n ¿ Z}, the process sampled at discrete time, coincides with the distribution of {Xn}. In particular the autocovariance function of {xt } interpolates that of {Xn}.
Abstract:	Peer Reviewed
Materia(s):	-Àrees temàtiques de la UPC::Matemàtiques i estadística -Stochastic processes -Discrete-time ARMA -Continuous-time ARMA -CARMA -Levy process -Embedding -Processos estocàstics
Derechos:	Attribution-NonCommercial-NoDerivs 3.0 Spain http://creativecommons.org/licenses/by-nc-nd/3.0/es/
Tipo de documento:	Artículo - Versión presentada Artículo
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