Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
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DOI: 10.1016/j.physa.2016.07.041
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References listed on IDEAS
- P. Brockwell, 2001. "Lévy-Driven Carma Processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 113-124, March.
- Rosinski, Jan, 2007. "Tempering stable processes," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 677-707, June.
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- Szarek, Dawid & Bielak, Łukasz & Wyłomańska, Agnieszka, 2020. "Long-term prediction of the metals’ prices using non-Gaussian time-inhomogeneous stochastic process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
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Keywords
Subordination; Subdiffusion; Ornstein–Uhlenbeck process; CARMA process;All these keywords.
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